Mutual Fund Managers
基金管理外文文献翻译
基金管理外文文献翻译(含：英文原文及中文译文)文献出处：英文原文Is Money Really “Smart”? New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance PersistenceRuss WermersMutual fund returns strongly persist over multi-year periods—that is the central finding of this paper. Further, consumer and fund manager behavior both play a large role in explaining these longterm continuation patterns—consumers invest heavily in last-year’s winning funds, and managers of these winners invest these inflows in momentum stocks to continue to outperform other funds for at least two years following the ranking year. By contrast, managers of losing funds appear reluctant to sell their losing stocks to finance the purchase of new momentum stocks, perhaps due to a disposition effect. Thus, momentum continues to separate winning from losing managers for a much longer period than indicated by prior studies.Even more surprising is that persistence in winning fund returns is not entirely explained by momentum—we find strong evidence that flow-related buying, especially among growth-oriented funds, pushes up stock prices. Specifically, stocks that winning funds purchase in responseto persistent flows have returns that beat their size, book-to-market, and momentum benchmarks by two to three percent per year over a four-year period. Cross-sectional regressions indicate that these abnormal returns are strongly related to fund inflows, but not to the past performance of the funds—thus, casting some doubt on prior findings of persistent manager talent in picking stocks. Finally, at the style-adjusted net returns level, we find no persistence, consistent with the results of prior studies. On balance, we confirm that money is smart in chasing winning managers, but that a “copycat” s trategy of mimicking winning fund stock trades to take advantage of flow-related returns appears to be the smartest strategy.Eighty-eight million individuals now hold investments in U.S. mutual funds, with over 90 percent of the value of these investments being held in actively managed funds. Further, actively managed equity funds gain the lion’s share of consumer inflows—flows of net new money to equity funds (inflows minus outflows) totalled $309 billion in 2000, pushing the aggregate value of investments held by these funds to almost $4 trillion at year-end 2000. While the majority of individual investors apparently believe in the virtues of active management in general, many appear to hold even stronger beliefs concerning the talents of subgroups of fund managers—they appear to believe that, among the field of active managers, superior managers exist that can “beat the market” for long periods of time. In particular, Morningstar and Lipper compete vigorouslyfor the attention of these true believers by providing regular fund performance rankings, while popular publications such as Money Magazine routinely profile “star” mutual fund managers. In addition, investor dollars, while not very quick to abandon past losing funds, aggressively chase past winners (see, for example, Sirri and Tufano (1998)).Are these “performance-chasers” wasting their money and time, or is money “smart”? Several past papers have attempted to tackle this issue, with somewhat differing results. For example, Grinblatt and Titman (1989a, 1993) find that some mutual fund managers are able to consistently earn positive abnormal returns before fees and expenses, while Brown and Goetzmann (1995; BG) attribute persistence to inferior funds consistently earning negative abnormal returns. Gruber (1996) and Zheng (1999) examine persistence from the viewpoint of consumer money flows to funds, and find that money is “smart”—that is, money flows disproportionately to funds exhibiting superior future returns. However, the exact source of the smart money effect remains a puzzle—does smart money capture manager talent or, perhaps, simply momentum in stock returns?1 More recently, Carhart (1997) examines the persistence in net returns of U.S. mutual funds, controlling for the continuation attributable to priced equity styles (see, for example, Fama and French (1992, 1993, 1996), Jegadeesh and Titman (1993), Daniel andTitman (1997), and Moskowitz and Grinblatt (1999)). Carhart finds little evidence of superior funds that consistently outperform their style benchmarks—specifically, Carhart finds that funds in the highest net return decile (of the CRSP mutual fund database) during one year beat funds in the lowest decile by about 3.5 percent during the following year, almost all due to the one-year momentum effect documented by Jegadeesh and Titman (1993) and to the unexplained poor performance of funds in the lowest prior-year return decile.2 Thus, Carhart (1997) suggests that money is not very smart. Recent studies find somewhat more promising results than Carhart (1997). Chen, Jegadeesh, and Wermers (1999) find that stocks most actively purchased by funds beat those most actively sold by over two percent per year, while Bollen and Busse (2002) find evidence of persistence in quarterly fund performance. Wermers (2000) finds that, although the average style-adjusted net return of the average mutual fund is negative (consistent with Carhart’s study), high-turnover funds exhibit a net return that is significantly higher than low-turnover funds. In addition, these highturnover funds pick stocks well enough to cover their costs, even adjusting for style-based returns. This finding suggests that fund managers who trade more frequently have persistent stockpicking talents. All of these papers provide a more favorable view of the average actively managed fund than prior research, although none focus on the persistence issue with portfolio holdings data.This study examines the mutual fund persistence issue using both portfolio holdings and net returns data, allowing a more complete analysis of the issue than past studies. With these data, we develop measures that allow us to examine the roles of consumer inflows and fund manager behavior in the persistence of fund performance. Specifically, we decompose the returns and costs of each mutual fund into that attributable to (1) manager skills in picking stocks having returns that beat their style-based benchmarks (selectivity), (2) returns that are attributable to the characteristics (or style) of stockholdings, (3) trading costs, (4) expenses, and (5) costs that are associated with the daily liquidity offered by funds to the investing public (as documented by Edelen (1999)). Further, we construct holdings-based measures of momentum-investing behavior by the fund managers. Together, these measures allow an examination of the relation between flows, manager behavior, and performance persistence.In related work, Sirri and Tufano (1998) find that consumer flows react about as strongly to one-year lagged net returns as to any other fund characteristic. In addition, the model of Lynch and Musto (2002) predicts that performance repeats among winners (but not losers), while the model of Berk and Green (2002) predicts no persistence (or weak persistence) as consumer flows compete away any managerial talent. Consistent with Sirri and Tufano (1998), and to test the competing viewpoints of Lynchand Musto (2002) and Berk and Green (2002), we sort funds on their one-year lagged net returns for most tests in this paper. While other ways of sorting funds are attempted.DataWe merge two major mutual fund databases for our analysis of mutual fund performance. Details on the process of merging these databases is available in Wermers (2000). The first database contains quarterly portfolio holdings for all U.S. equity mutual funds existing at any time between January 1, 1975 and December 31, 1994; these data were purchased from Thomson/CDA of Rockville, Maryland. The CDA dataset lists the equity portion of each fund’s holdings (i.e., the shareholdings of each stock held by that fund) along with a listing of the total net assets under management and the self-declared investment objective at the beginning of each calendar quarter. CDA began collecting investment-objective information on June 30, 1980; we supplement these data with hand-collected investment objective data from January 1, 1975.The second mutual fund database is available from the Center for Research in Security Prices (CRSP) and is used by Carhart (1997). The CRSP database contains monthly data on net returns, as well as annual data on portfolio turnover and expense ratios for all mutual funds existing at any time between January 1, 1962 and December 31, 2000. Further details on the CRSP mutual fund database are available from CRSP.These two databases were merged to provide a complete record of the stockholdings of a given fund, along with the fund’s turnover, expense ratio, net returns, investment objective, and total net assets under management during the entire time that the fund existed during our the period of 1975 to 1994 (inclusive).5 Finally, stock prices and returns were obtained from the CRSP stock files.Performance-Decomposition Methodology In this study, we use several measures that quantify the ability of a mutual fund manager to choose stocks, as well as to generate superior performance at the net return level. These measures, in general, decompose the return of the stocks held by a mutual fund into several components in order to both benchmark the stock portfolio and to provide a performance attribution for the fund. The measures used to decompose fund returns include:1. the portfolio-weighted return on stocks currently held by the fund, in excess of returns (during the same time period) on matched control portfolios having the same style characteristics (selectivity)2. the portfolio-weighted return on control portfolios having the same characteristics as stocks currently held by the fund, in excess of time-series average returns on those control portfolios (style timing)3. the time-series average returns on control portfolios having the same characteristics as stocks currently held (style-based returns)4. the execution costs incurred by the fund5. the expense ratio charged by the fund6. the net returns to investors in the fund, in excess of the returns to an appropriate benchmark portfolio.The first three components of performance, which decompose the return on the stocks held by a given mutual fund before any trading costs or expenses are considered, are briefly described next. We estimate the execution costs of each mutual fund during each quarter by applying recent research on institutional trading costs to our stockholdings data—we also describe this procedure below. Data on expense ratios and net returns are obtained directly from the merged mutual fund database. Finally, we describe the Carhart (1997) regression-based performance measure, which we use to benchmark-adjust net returns.The Ferson-Schadt Measure Ferson and Schadt (FS, 1996) develop a conditional performance measure at the net returns level. In essence, this measure identifies a fund manager as providing value if the manager provides excess net returns that are significantly higher than the fund’s matched factor benchmarks, both unconditional and conditional. The conditional benchmarks control for any predictability of the factor return premia that is due to evolving public information. Managers, therefore, are only labeled as superior if they possess superior private information on stock prices, and not if they change factor loadings over time in response to public information. FS also find that these conditionalbenchmarks help to control for the response of consumer cashflows to mutual funds. For example, when public information indicates that the market return will be unusually high, consumers invest unusually high amounts of cash into mutual funds, which reduces the performance measure, “alpha,” from an unconditional model (such as the Carhart model). This reduction in alpha occurs because the unconditional model does not control for the negative market timing induced by the flows. Edelen (1999) provides further evidence of a negative impact of flows on measured fund performance. Using the FS model mitigates this flow-timing effect. The version of the FS model used in this paper starts with the unconditional Carhart four-factor model and adds a market factor that is conditioned on the five FS economic variables.Decomposing the Persistence in Mutual Fund ReturnsSirri and Tufano (1998) find that consumer flows react about as strongly to one-year lagged net returns as to any other fund characteristic. In addition, the model of Lynch and Musto (2002) predicts that performance repeats among winners (but not losers), while the model of Berk and Green (2002) predicts no persistence (or weak persistence) as consumer flows compete away any managerial talent. Consistent with Sirri and Tufano (1998), and to test the competing viewpoints of Lynch and Musto (2002) and Berk and Green (2002), we sort funds on their one-year lagged net returns for the majority of tests in the remainder ofthis paper. When appropriate, we provide results for other sorting approaches as well.中文译文资金真的是“聪明”吗？关于共同基金流动，经理行为和绩效持续性关系的新证据作者：Russ Wermers此外，基金的复苏在多年期间强烈持续- 这是本文的核心发现。
Bill Gross
比尔·格罗斯1.人物简介Wiki词条：William H. GrossWilliam "Bill" Hunt Gross (born April 13, 1944) is an American financi al manager and investment author who co-founded Pacific Investment Man agement (PIMCO). Gross also runs PIMCO's $252.2 billion Total Return F und.比尔·格罗斯（Bill Gross），被业界称作债券之王。
1990年代初开始，格罗斯开始走红华尔街，成为福布斯杂志评选的最具影响力的25位美国企业界人士之一。
其管理的 PIMCO Total Return Fund 是目前世界上最大的基金。
2.关于Bill Gross的书籍《债券之王(比尔 格罗斯的投资秘诀)》 上海译文出版社 （美）Middleton. T (著) 陈利贤(译)The Bond King: Investment Secrets from PIMCO's Bill G ross3.人物经历WIKI 百科 /wiki/William_H._GrossGross was born in Middletown, Ohio, the son of Shirley, a homemaker, and Sewell M. Gross, a sales manager for AK Steel Holding. He was raised a Presbyterian. His family moved to San Francisco in 1954. Gross graduated fromDuke University in 1966 with a degree in psychology. At Duke he joined Phi Kappa Psi. He then served in the Navy and earned an MBA from the U CLA in 1971. Gross briefly played blackjack professionally in Las Vegas, and has said that he applies many of his gambling methods for spreading risk and calculating odds to his investment decisions. In the 1990s he authored two popular‐market books on investing, and Gross is one of the world's largest mutual fund managers, focusing mostly on bonds. Called "the nation's most prominent bond investor" by the New York Times,he co‐founded Pacific Investment Management (PIMCO) and currently manages PIMCO's Total Return fund (the world's largest bond fund and fifth largest mutual fund) and several smaller ones.In September 2008, by holding large positions in agency backed mortgagebonds of Fannie Mae and Freddie Mac, Gross netted U.S. $1.7 billion after the Federal takeover of Fannie Mae and Freddie Mac for which he had lobbied.According to the Forbes 400 in 2007, he is the 380th richest person in America and the 897th richest person in the world, with a net worth of $1.3 billion. In 2009he was named the world's 32nd most powerful man by Forbes.和讯百科 /view/3221.html走近格罗斯对于比尔·格罗斯(Bill Gross)而言，债券就是他的生活。
[英语学习]共同基金与对冲基金 Mutual Funds and Hedge Funds
![[英语学习]共同基金与对冲基金 Mutual Funds and Hedge Funds](https://img.taocdn.com/s3/m/6df9e45bb9f3f90f77c61b82.png)
Disadvantages
• The disadvantages of mutual funds include:
• The Growth of Mutual Funds • Mutual Fund Structure • Investment Objective Classes • Fee Structure of Investment Funds • Regulation of Mutual Funds • Hedge Funds • Conflicts of Interest in the Mutual Fund Industry
3. Denomination intermediation: investors can participate in equity and debt offerings that, individually, require more capital than they possess.
4. Liquidity intermediation: investors can quickly convert investments into cash while still allowing the fund to invest for the long term.
Financial Markets and Institutions: Mutual Funds and Hedge Funds
Chapter Preview
CH06FundManagement(金融市场学,上海大学,悉尼大学)
Check writing Telephone or Internet funds transfer
Comparison to depository institutions
Like depository institutions, mutual funds repackage proceeds from individuals to make investments
Bank deposits are a liability contract, but a mutual fund represents partial ownership
Family of funds offered by investment companies
Investor able to allocate then transfer funds among funds
Exhibit 24.2 Distribution of Investment in Mutual Funds
No federal insurance with mutual fund shares
Background on Mutual Funds
Mutual funds adhere to a variety of federal and state regulations
Securities and Exchange Commission (SEC) regulates
Managers invest in a portfolio of securities to meet the objectives of the fund
chapter 9投资作业-chapter 15习题
习题Chapter 93. You are a consultant to a large manufacturing corporation that is considering a project with the following net after-tax cash flows (in millions of dollars):The project’s beta is 1.8. Assuming that, what is the net present value of the project? What is the highest possible beta estimate for the project before its NPV becomes negative?4. Are the following true or false? Explain.a. Stocks with a beta of zero offer an expected rate of return of zero.b. The CAPM implies that investors require a higher return to hold highly volatile securities.c. You can construct a portfolio with beta of .75 by investing .75 of the investment budget in T-bills and the remainder in the market portfolio.In problems 13 to 15 assume that the risk-free rate of interest is 6% and the expected rate of return on the market is 16%.13. Ashare of stock sells for $50 today. It will pay a dividend of $6 per share at the end of the year. Its beta is 1.2. What do investors expect the stock to sell for at the end of the year?14. I am buying a firm with an expected perpetual cash flow of $1,000 but am unsure of its risk. If I think the beta of the firm is .5, when in fact the beta is really 1, how much more will I offer for the firm than it is truly worth?15. A stock has an expected rate of return of 4%. What is its beta?17. Suppose the rate of return on short-term government securities (perceived to be riskfree) is about 5%. Suppose also that the expected rate of return required by the market for a portfolio with a beta of 1 is 12%. According to the capital asset pricing model (security market line):a. What is the expected rate of return on the market portfolio?b. What would be the expected rate of return on a stock with beta＝0?c. Suppose you consider buying a share of stock at $40. The stock is expected to pay $3 dividends next year and you expect it to sell then for $41. The stock risk has been evaluated at beta＝－0.5. Is the stock overpriced or underpriced?21. The security market line depicts:a. A security’s expected return as a function of its systematic risk.b. The market portfolio as the optimal portfolio of risky securities.c. The relationship between a security’s return and the return on an index.d. The complete portfolio as a combination of the market portfolio and the risk-free asset.22. Within the context of the capital asset pricing model (CAPM), assume:• Expected return on the market ＝15%.• Risk-free rate _ 8%.• Expected rate of return on XYZ security ＝17%.• Beta of XYZ security ＝1.25.Which one of the following is correct?a. XYZ is overpriced.b. XYZ is fairly priced.c. XYZ’s alpha is＝-0.25%.d. XYZ’s alpha is=0 .25%.The following table shows risk and return measures for two portfolios. answer question 26 and 2726. When plotting portfolio R on the preceding table relative to the SML, portfolio R lies:a. On the SML.b. Below the SML.c. Above the SML.d. Insufficient data given.27. When plotting portfolio R relative to the capital market line, portfolio R lies:a. On the CML.b. Below the CML.c. Above the CML.d. Insufficient data given.31. Karen Kay, a portfolio manager at Collins Asset Management, is using the capital asset pricing model for making recommendations to her clients. Her research department has developed the information shown in the following exhibit.a. Calculate expected return and alpha for each stock.b. Identify and justify which stock would be more appropriate for an investor who wants toi. add this stock to a well-diversified equity portfolio.ii. hold this stock as a single-stock portfolio.Chapter 111. A portfolio management organization analyzes 60 stocks and constructs a meanvariance efficient portfolio using only these 60 securities.a. How many estimates of expected returns, variances, and covariances are needed to optimize this portfolio?b. If one could safely assume that stock market returns closely resemble a single index structure, how many estimates would be needed?2. The following are estimates for two of the stocks in problem 1.The market index has a standard deviation of 22% and the risk-free rate is 8%.a. What is the standard deviation of stocks A and B?b. Suppose that we were to construct a portfolio with proportions:Stock A: .30Stock B: .45T-bills: .25Compute the expected return, standard deviation, beta, and nonsystematic standard deviation of the portfolio.4. Consider the two (excess return) index model regression results for A and B:a. Which stock has more firm-specific risk?b. Which has greater market risk?c. For which stock does market movement explain a greater fraction of return variability?d. Which stock had an average return in excess of that predicted by the CAPM?e. If rf were constant at 6% and the regression had been run using total rather than excess returns, what would have been the regression intercept for stock A ?Use the following data for problems 5 through 9. Suppose that the index model for stocks A and B is estimated from excess returns with the following results:5. What is the standard deviation of each stock?6. Break down the variance of each stock to the systematic and firm-specific components.7. What are the covariance and correlation coefficient between the two stocks?8. What is the covariance between each stock and the market index?9. Are the intercepts of the two regressions consistent with the CAPM? Interpret their values.15. Based on current dividend yields and expected growth rates, the expected rates of return on stocks A and B are 11% and 14%, respectively. The beta of stock A is .8, while that of stock B is 1.5. The T-bill rate is currently 6%, while the expected rate of return on the S&P 500 index is 12%. The standard deviation of stock A is 10% annually, while that of stock B is 11%.a. If you currently hold a well-diversified portfolio, would you choose to add either of these stocks to your holdings?b. If instead you could invest only in bills and one of these stocks, which stock would you choose? Explain your answer using either a graph or a quantitative measure of the attractiveness of the stocks.16. Assume the correlation coefficient between Baker Fund and the S&P 500 Stock Index is .70. What percentage of B aker Fund’s total risk is specific (i.e., nonsystematic)?a. 35%b. 49%c. 51%d. 70%17. The correlation between the Charlottesville International Fund and the EAFE Market Index is 1.0. The expected return on the EAFE Index is 11%, the expected return on Charlottesville International Fund is 9%, and the risk-free return in EAFE countries is 3%. Based on this analysis, the implied beta of Charlottesville International is:a. Negativeb. .75c. .82d. 1.00chapter 122. Which of the following most appears to contradict the proposition that the stock market is weakly efficient? Explain.a. Over 25% of mutual funds outperform the market on average.b. Insiders earn abnormal trading profits.c. Every January, the stock market earns abnormal returns.3. Suppose that, after conducting an analysis of past stock prices, you come up with the following observations. Which would appear to contradict the weak form of the efficient market hypothesis? Explain.a. The average rate of return is significantly greater than zero.b. The correlation between the return during a given week and the return during the following week is zero.c. One could have made superior returns by buying stock after a 10% rise in price and selling after a 10% fall.d. One could have made higher-than-average capital gains by holding stocks with low dividend yields.4. Which of the following statements are true if the efficient market hypothesis holds?a. It implies that future events can be forecast with perfect accuracy.b. It implies that prices reflect all available information.c. It implies that security prices change for no discernible reason.d. It implies that prices do not fluctuate.5. Which of the following observations would provide evidence against the semistrong form of the efficient market theory? Explain.a. Mutual fund managers do not on average make superior returns.b. You cannot make superior profits by buying (or selling) stocks after the announcement of an abnormal rise in dividends.c. Low P/E stocks tend to have positive abnormal returns.d. In any year approximately 50% of pension funds outperform the market.6. The semistrong form of the efficient market hypothesis asserts that stock prices:a. Fully reflect all historical price information.b. Fully reflect all publicly available information.c. Fully reflect all relevant information including insider information.d. May be predictable.7. Assume that a company announces an unexpectedly large cash dividend to its shareholders.In an efficient market without information leakage, one might expect:a. An abnormal price change at the announcement.b. An abnormal price increase before the announcement.c. An abnormal price decrease after the announcement.d. No abnormal price change before or after the announcement.8. Which one of the following would provide evidence against the semistrong form of the efficient market theory?a. About 50% of pension funds outperform the market in any year.b. All investors have learned to exploit signals about future performance.c. Trend analysis is worthless in determining stock prices.d. Low P/E stocks tend to have positive abnormal returns over the long run. Chapter 141. Which security has a higher effective annual interest rate?a. A 3-month T-bill selling at $97,645 with par value $100,000.b. A coupon bond selling at par and paying a 10% coupon semiannually.2. Treasury bonds paying an 8% coupon rate with semiannual payments currently sell at par value. What coupon rate would they have to pay in order to sell at par if they paid their coupons annually? (Hint: what is the effective annual yield on the bond?)3. Two bonds have identical times to maturity and coupon rates. One is callable at 105, the other at 110. Which should have the higher yield to maturity? Why?4. Consider a bond with a 10% coupon and with yield to maturity _ 8%. If the bond’s yield to maturity remains constant, then in 1 year, will the bond price be higher, lower, or unchanged? Why?5. Consider an 8% coupon bond selling for $953.10 with 3 years until maturity making annual coupon payments. The interest rates in the next 3 years will be, with certainty, . Calculate the yield to maturity and realized compound yield of the bond.6. Philip Morris may issue a 10-year maturity fixed-income security, which might include a sinking fund provision and either refunding or call protection.a. Describe a sinking fund provision.b. Explain the impact of a sinking-fund provision on:i. The expected average life of the proposed security.ii. Total principal and interest payments over the life of the proposed security.c. From the investor’s point of view, explain the rationale for demanding a sinking fund provision.7. Bonds of Zello Corporation with a par value of $1,000 sell for $960, mature in 5 years, and have a 7% annual coupon rate paid semiannually.a. Calculate the:i. Current yield.ii. Yield to maturity (to the nearest whole percent, i.e., 3%, 4%, 5%, etc.).iii. Realized compound yield for an investor with a 3-year holding period and a reinvestment rate of 6% over the period. At the end of 3 years the 7% coupon bonds with 2 years remaining will sell to yield 7%.b. Cite one major shortcoming for each of the following fixed-income yield measures:i. Current yield.ii. Yield to maturity.iii. Realized compound yield.9. A 20-year maturity bond with par value of $1,000 makes semiannual coupon payments at a coupon rate of 8%. Find the bond equivalent and effective annual yield to maturity of the bond if the bond price is:a. $950.b. $1,000.c. $1,050.12. Consider a bond paying a coupon rate of 10% per year semiannually when the market interest rate is only 4% per half year. The bond has 3 years until maturity.a. Find the bond’s price today and 6 months from now after the next coupon is paid.b. What is the total (6 month) rate of return on the bond?14. A bond with a coupon rate of 7% makes semiannual coupon payments on January15 and July 15 of each year. The Wall Street Journal reports the asked price for the bond on January 30 at 100:02. What is the invoice price of the bond? The coupon period has 182 days.20. A 30-year maturity, 8% coupon bond paying coupons semiannually is callable in 5 years at a call price of $1,100. The bond currently sells at a yield to maturity of 7% (3.5% per half-year).a. What is the yield to call?b. What is the yield to call if the call price is only $1,050?c. What is the yield to call if the call price is $1,100, but the bond can be called in 2 years instead of 5 years?22. A 2-year bond with par value $1,000 making annual coupon payments of $100 is priced at $1,000. What is the yield to maturity of the bond? What will be the realized compound yield to maturity if the 1-year interest rate next year turns out to be (a) 8%,(b) 10%26. Alarge corporation issued both fixed and floating-rate notes 5 years ago, with terms given in the following table:a. Why is the price range greater for the 9% coupon bond than the floatingrate note?b. What factors could explain why the floating-rate note is not always sold at par value?c. Why is the call price for the floating-rate note not of great importance to investors?d. Is the probability of call for the fixed-rate note high or low?e. If the firm were to issue a fixed-rate note with a 15-year maturity, what coupon rate would it need to offer to issue the bond at par value?f. Why is an entry for yield to maturity for the floating-rate note not appropriate?27. On May 30, 1999, Janice Kerr is considering one of the newly issued 10-year AAA corporate bonds shown in the following exhibit.a. Suppose that market interest rates decline by 100 basis points (i.e., 1%). Contrast the effect of this decline on the price of each bond.b. Should Kerr prefer the Colina over the Sentinal bond when rates are expected to rise or to fall?c. What would be the effect, if any, of an increase in the volatility of interest rates on the prices of each bond?Chapter 152. Which one of the following statements about the term structure of interest rates is true?a. The expectations hypothesis indicates a flat yield curve if anticipated futureshort-term rates exceed current short-term rates.b. The expectations hypothesis contends that the long-term rate is equal to the anticipated short-term rate.c. The liquidity premium theory indicates that, all else being equal, longer maturities will have lower yields.d. The liquidity preference theory contends that lenders prefer to buy securities at the short end of the yield curve.8. Suppose the following table shows yields to maturity of zero coupon U.S. Treasury securities as of January 1, 1996:a. Based on the data in the table, calculate the implied forward 1-year rate of interest at January 1, 1999.b. Describe the conditions under which the calculated forward rate would be an unbiased estimate of the 1-year spot rate of interest at January 1, 1999.c. Assume that 1 year earlier, at January 1, 1995, the prevailing term structure for U.S. Treasury securities was such that the implied forward 1-year rate of interest at January 1, 1999, was significantly higher than the corresponding rate implied by the term structure at January 1, 1996. On the basis of the pure expectations theory of the term structure, briefly discuss two factors that could account for such a decline in the implied forward rate.16. Below is a list of prices for zero-coupon bonds of various maturities.a. An 8.5% coupon $1,000 par bond pays an annual coupon and will mature in 3years. What should the yield to maturity on the bond be?b. If at the end of the first year the yield curve flattens out at 8%, what will be the1-year holding-period return on the coupon bond?21. The yield to maturity (YTM) on 1-year zero-coupon bonds is 5% and the YTM on 2-year zeros is 6%. The yield to maturity on 2-year-maturity coupon bonds with coupon rates of 12% (paid annually) is 5.8%. What arbitrage opportunity is available for an investment banking firm? What is the profit on the activity?22. Suppose that a 1-year zero-coupon bond with face value $100 currently sells at $94.34, while a 2-year zero sells at $84.99. You are considering the purchase of a2-year-maturity bond making annual coupon payments. The face value of the bond is $100, and the coupon rate is 12% per year.a. What is the yield to maturity of the 2-year zero? The 2-year coupon bond?b. What is the forward rate for the second year?c. If the expectations hypothesis is accepted, what are (1) the expected price of the coupon bond at the end of the first year and (2) the expected holding-period return on the coupon bond over the first year?d. Will the expected rate of return be higher or lower if you accept the liquidity preference hypothesis?。
投资学精要8
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4. b. This is the definition of an efficient market.
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5. Which of the following observations would provide evidence against the semistrong form of the efficient market theory? Explain. a. Mutual fund managers do not on average make superior returns. b. You cannot make superior profits by buying (or selling) stocks after the announcement of an abnormal rise in dividends. c. Low P/E stocks tend to have positive abnormal returns. d. In any year approximately 50% of pension funds outperform the market.
In 1953 Kendall found that stock prices seemed to evolve randomly. Random Walk 随机漫步: 股票价格的变动方向是不 随机漫步: 可预测的, 可预测的,随机的。 Stock prices already reflect all available information. 价 格反映已知信息。 This notion is referred to as the Efficient Market Hypothesis (EMH) 有效市场假说
2022年考研考博-考博英语-华南师范大学考试全真模拟易错、难点剖析B卷(带答案)第3期
2022年考研考博-考博英语-华南师范大学考试全真模拟易错、难点剖析B卷（带答案）一.综合题(共15题)1.单选题The work is not very profitable（）cash, but I am getting valuable experience from it.问题1选项A.in accordance withB.on the basis ofC.in terms ofD.in the light of【答案】C【解析】考查介词短语辨析题。
A: in accordance with “与……一致” ；B: on the basis of “基于”；C: in terms of “在……方面”；D: in the light of “根据”。
句意：这项工作在金钱方面没什么优势，但是我却从中得到了宝贵的经验。
结合此处语义，C为正确答案。
2.单选题The politician is shrewd and deep; he was（）seldom on what he expected others to do for him.问题1选项A.transparentB.explicitC.prominentD.conspicuous【答案】B【解析】考查形容词词义辨析。
A: transparent “透明的”；B: explicit “明确的；直言的”；C: prominent “突出的，显著地”；D: conspicuous “显著的”。
句意：这位政治家相当精明，城府深，他很少明确表示希望其他人能为他做些什么。
根据句意，B项最符合。
3.单选题When the jury brought in a（）of guilt, the defendant who was overwhelmingly arrogant several minutes ago drooped his head.问题1选项A.judgmentB.appraisalC.verdictD.conviction【答案】C【解析】考查名词词义辨析。
行为金融学文献15Leaning for the Tape Evidence of Gaming Behaviour in Equity Mutual Funds
THE JOURNAL OF FINANCE•VOL.LVII,NO.2•APRIL2002Leaning for the Tape:Evidence of Gaming Behavior in Equity Mutual FundsMARK M.CARHART,RON KANIEL,DAVID K.MUSTO,and ADAM V.REED*ABSTRACTWe present evidence that fund managers inf late quarter-end portfolio prices withlast-minute purchases of stocks already held.The magnitude of price inf lationranges from0.5percent per year for large-cap funds to well over2percent forsmall-cap funds.We find that the cross section of inf lation matches the cross sec-tion of incentives from the f low0performance relation,that a surge of trading inthe quarter’s last minutes coincides with a surge in equity prices,and that theinf lation is greatest for the stocks held by funds with the most incentive to inf late,controlling for the stocks’size and performance.Q UARTER-END AND ESPECIALLY YEAR-END equity mutual fund prices are abnor-mally high.We present strong evidence that some mutual fund managers mark up their holdings at quarter end through aggressive trading of stocks they already hold.Funds with the greatest ability and most incentive to improve their performance exhibit the largest turn-of-quarter effect.Intra-daily data show a surge of transactions and transaction prices in the quar-ter’s last few minutes,and fund-holdings data show a larger effect in the funds with the most incentive to mark up.Considering that open-end equity funds intermediate$3.46trillion~year-end1999!,1this turn-of-quarter in-f lation of their prices is a significant opportunity for potential sellers,and a significant hazard for everybody else.In general,open-end domestic equity mutual funds calculate their net asset values per share~NAVs!from the closing transaction prices of their holdings.*Carhart is from Goldman Sachs Asset Management,Kaniel is from the University of Texas, Musto is from the University of Pennsylvania,and Reed is from the University of North Carolina. The authors thank Marshall Blume;Mercer Bullard;Susan Christoffersen;Dan Deli;Diane Del Guercio;Roger Edelen;Chris Geczy;Bruce Grundy;Don Keim;Alan Lee;Andrew Metrick;Rob Stambaugh;Laura Starks;Paula Tkac;Kent Womack;Jason Zweig;and seminar participants at the Securities Exchange Commission,Iowa,Texas,and the Wharton School;participants in the Western Finance Association meeting in Sun Valley,Idaho;the Academic0Practitioners Con-ference on Mutual Funds at the Investment Company Institute;and RenéStulz and an anon-ymous referee for helpful comments and suggestions.Financial and other support from the Rodney L.White Center for Financial Research and the Wharton Financial Institutions Center is gratefully acknowledged.The views expressed are those of the authors alone,and do not necessarily ref lect the views of Goldman Sachs Asset Management,Wharton,or UT.1Investment Company Institute,Mutual Fund Fact Book,2000Edition,p.73.This figure excludes international funds.661662The Journal of FinanceWhile there are obvious benefits from pricing off the most recent arms-length transactions,there are potential concerns as well.One of these,ex-plored by Chalmers,Edelen,and Kadlec~2000!,Boudoukh et al.~2000!,and others,is the age of thinly traded stocks’last trades,which allows specula-tors to profit off longer-term shareholders.The concern we explore here is the inf luence of last-minute trading on last-trade prices,which allows fund managers to move performance between periods with last-minute trading in stocks they already hold,a practice alternately known as“painting the tape,”“marking up,”or“portfolio pumping.”Market regulators regard this practice as illegal.See Sugawara~2000!.If managers mark up to move performance to one period from the next, the result is abnormally high NAVs at period ends.Because of the signifi-cance of quarterly and annual performance figures,the ends of calendar quarters—particularly the fourth—are logical targets.We first establish that quarter-end distortion of NAVs is economically and statistically significant, then study fund returns,portfolio holdings,stock returns,and stock trades to determine whether the marking-up tactic is responsible.We first establish the abnormal-NAV pattern around quarter ends.Equity fund returns,net of the S&P500,are abnormally high on the last day of the quarter,especially the fourth,and abnormally low the next day.This effect appears in both our database of daily fund returns and in the Lipper daily fund indices.Magnitudes range from around50basis points per year for large-cap funds to well over200basis points for small-cap funds.There is little or no effect at month-ends that are not quarter-ends.We then focus in on the cause of the abnormal returns with a sequence of tests on the cross section of fund and stock returns.We confirm the link between the quarter-end rise and the next-day decline by showing that larger increases precede larger decreases in the cross section,which is not the case for fund returns on other days.Next,to establish whether mutual fund managers are actively involved, we check if funds with relatively more incentive to mark up do in fact show more marking up.We test two hypotheses.First,funds just below the S&P 500for the year mark up to beat the index~Zweig~1997!!,which we call “benchmark-beating.”Second,funds with the best performance mark up to improve their year-end ranking and to profit from the convexity of the f low0 performance relation~Ippolito~1992!,Sirri and Tufano~1998!!and manage-rial incentive pay.We denote this as the“leaning-for-the-tape”hypothesis. Despite its intuitive appeal,we reject the benchmark-beating hypothesis. As Degeorge,Patel,and Zeckhauser~1999!observe,manipulation of a sta-tistic to beat a benchmark should distort the empirical distribution of the statistic around the benchmark.In the empirical distribution of funds’calendar-year returns,there is no distortion around the S&P return,such as De-george,Patel,and Zeckhauser find in corporate-earnings numbers around analysts’expectations,and no distortion around zero return.However,we find significant evidence supporting the leaning-for-the-tape hypothesis.We find that the year’s best-performing funds have the largestEvidence of Gaming Behavior in Equity Mutual Funds663 abnormal year-end return reversals,and the quarter’s best-performing funds have the largest abnormal quarter-end return reversals.Intraday data iso-late much of the pattern in a small window of trading time around the quarter-end day’s close.Finally,we find that the stocks in the disclosed portfolios of the best-performing funds,controlling for capitalization and recent return, show significantly more price inf lation at year-end than do other stocks.We conclude that marking up by mutual funds explains some,if not all,of the price inf lation.The rest of the paper is in five sections.Section I covers the relevant literature on equity and equity-fund returns,and Section II tests for NAV inf lation at period-ends.Section III presents evidence from the cross section of fund returns.Section IV tests for marking up on transactions data,and Section V summarizes and concludes.I.Background and LiteratureTwo literatures relate to regularities in equity-fund returns:the extensive literature on equity-return seasonality,and the more recent literature on equity-fund-return seasonality,which is qualitatively different in both causes and implications.We cover each brief ly,then describe the main hypotheses of this paper in the context of the literature on equity-fund agency issues, particularly those relating to the effect of fund performance on net cash f lows.A.Literature on Equity Return SeasonalityThe finance literature has uncovered and analyzed many peculiarities in equity returns in the days around the year-end.Most attention has focused on small-cap issues.Relative to big-cap stocks,small-cap stocks shift signif-icantly upward on each of the five trading days starting with the last of the year~Keim~1983!,Roll~1983!!with a persistence across years that defies risk-based explanations.Explanations include tax-loss selling and window dressing.Tax-loss selling implies that retail investors’demand for stocks with poor past performance shifts up after the year-end tax deadline~e.g., Roll~1983!,and see Ritter~1988!for evidence that sale proceeds are“parked”for a while!.Similarly,window dressing implies that institutional demand for prior poor performers shifts up after year-end portfolio disclosures~e.g., Haugen and Lakonishok~1988!,Musto~1997!!.Neither explains why the shift starts a day before the year-end.22U.S.mutual funds~with a few exceptions!use trade dateϩ1positions in calculating their daily NAV.Therefore,any changes in position that occur through trading on the last day of the year are not ref lected in that day’s NAV,but rather in the next day’s NAV.However,U.S.GAAP requires that semiannual mutual fund reports ref lect trade date positions,so these trades would be observed in the financial statements of funds with calendar fiscal years.664The Journal of FinanceLining up daily index returns from1963to1981around month ends,Ariel ~1987!isolates all of equities’positive average returns in the nine trading days starting with the last of the month.Various explanations are consid-ered and discarded.Sias and Starks~1997!find that greater institutional ownership is associated with relatively better returns in the last four days of the year,and relatively worse in the first four days of the year,and conclude that individual-investor tax-loss selling explains their finding.However,the average returns are virtually the same over these two periods,so they con-clude it is actually the unusually poor performance of low institutional own-ership stocks at the end of the year,and their good performance at the beginning of the year,that drives their results.At the intraday frequency,Harris~1989!shows that transaction prices systematically rise at the close,and that this“day-end”anomaly is largest at month-ends~the study did not consider quarter-or year-ends separately! and when the last transaction is very near to the close in time.Harris also finds that the effect is stronger for low-priced firms and that buyers more frequently initiate day-end transactions.The literature also documents price shifts directly traceable to institu-tional money management.Harris and Gurel~1986!show that prices on new constituents of the S&P500index abnormally increase more than three per-cent upon announcement,all of which is eliminated within two weeks.Lynch and Mendenhall~1997!,studying a period when S&P additions and dele-tions were announced several trading days in advance,show transaction prices to be temporarily low on deletion days and high on addition days,and Reed~2000!confirms this for Russell2000additions and deletions.This effect is understood to be caused by the rebalancing trades of index managers.B.Literature on Equity-fund Return SeasonalityIt might seem redundant to measure the seasonality of equity-fund re-turns,because we might expect to see only the previously discussed equity-return patterns.But the return on an equity fund is fundamentally different from the return on an equity,and the significance of this difference is only recently being addressed in the literature.An equity return represents the difference between the prices of two arms-length transactions.It tells us what an investor would have earned if he bought at the initial price and sold at the later price.We cannot know how much,if any,another investor could have transacted at these prices,as they are specific to the size and direction,and possibly other circumstances,of those two trades.In many cases,we abstract from transaction times,which is a minor concern for heavily traded stocks but not for the sparsely traded ones.An alternative is to look instead at bid and ask prices,but these,too, are only relevant for trades of a specific size.An equity-fund return represents the difference between two NAV calcu-lations,where each NAV is calculated from the closing prices of the fund’s holdings on their respective primary exchanges.In contrast to an equityEvidence of Gaming Behavior in Equity Mutual Funds665 price,the NAV is the actual transaction price used for purchases and re-demptions of fund shares after the close that day.However,it is unlikely that an investor could purchase or sell all of the fund’s equity positions at the closing prices used to calculate NAV.So NAVs directly represent the experience of hypothetical investors,without the guesswork and error,but they can depart from the“equilibrium”value of fund shares whenever equities’closing prices depart from their equilibrium values.When this departure is predictable,investors have a trading rule whose profits derive from the funds’other shareholders.Some recent studies illustrate the predictability caused by nonsynchro-nous trading.Nonsynchroneity is most extreme in funds holding non-U.S. equities that price these holdings using closing trades on their home ex-change,yet allow fund purchases and redemptions up to the close of U.S. trading~Goetzmann,Ivkovic,and Rouwenhorst~2000!!.But even purely do-mestic funds allow arbitrage to the extent they hold equities whose last trades tend to precede the market close~e.g.,Boudoukh et al.~2000!,Chal-mers et al.~2000!,Greene and Hodges~2000!!.These profit opportunities are sporadic and require good estimates of the magnitude of market moves between non-U.S.and U.S.market closes for international funds,or shortly before the U.S.close for funds holding illiquid stocks.In the popular press,Zweig~1997!demonstrates year-end seasonality in equity funds,and offers an explanation.From1985to1995,the average equity fund outperformed the S&P500by53bp~bpϭbasis points,10100of one percent!on the year’s last trading day,and under performed by37bp on the next year’s first trading day.Small-cap funds shifted more:103bp above the S&P,then60bp below.This does not match the price shifts of small-cap equity indices,which generally beat the market on both days in those years. The explanation offered is that some fund managers cause the pattern by manipulating year-end valuations to improve their fund’s return.In SEC terminology,“marking the close”is“the practice of attempting to inf luence the closing price of a stock by executing purchase or sale orders at or near the close of the market”~see Kocherhans~1995!!.Zweig~1997!pro-poses that the fund managers just short of the S&P500on the year’s pen-ultimate trading day try to pass it by marking the last day’s close with buys. At the least,they could simply increase the probability their holdings close at the ask,but with more aggressive purchases,they could push up both the bid and the ask.Either way,this“marking up”would result in inf lated NAVs and thereby inf lated returns for holding periods ending on that date, and correspondingly de f lated returns over periods beginning then.C.Two Models of the Marking-up StrategyWe consider two models,not mutually exclusive,of the marking-up strat-egy.The first is the scenario just described in which managers mark up to beat the S&P,which we label the“benchmark-beating”model.The idea that funds mark up to beat the S&P500has intuitive appeal;a fund’s success at666The Journal of Financebeating the S&P500is a popular topic in the financial press and in pro-spectuses and annual reports,so it would seem that investors would rewardit with new investment.Interestingly,however,they do not.A recent com-parative study of the f low0performance relation in the mutual fund and pen-sion fund industries,Del Guercio and Tkac~2000!,finds new investmentincreases with performance in both segments,but beating the S&P500bringssignificant new investment only to pension funds,not to mutual funds.So ifa reward mechanism encourages marking up to beat the S&P500,it is prob-ably something other than expectations of new investment.For example,managers’bonus plans might reward outperforming the S&P500.The second model is suggested by the convex relation between past per-formance and subsequent net fund f lows.As Ippolito~1992!and Sirri andTufano~1998!show,net f lows are much more sensitive to the differencebetween two high returns than between two lower returns,so that fundmanagers get more benefit from rank improvements if they are near the topof the distribution.This further implies that on the last day of a referenceperiod,fund managers get more benefit from moving performance to thatperiod from the next if their period-to-date performances are near the top ofthe distribution.They are in the high-slope region of the relation for thisperiod and not particularly likely to be there for the next~Hendricks,Patel,and Zeckhauser~1993!,Brown and Goetzmann~1995!,Carhart~1997!!,whichincreases their incentive to move performance from the next reference pe-riod.Marking up at period end moves performance from the next period.Soin the second model,which we label the“leaning-for-the-tape”model~pic-ture runners at the finish line!,funds mark up at the end of a referenceperiod to improve a superior performance.The primary reference period would intuitively be the calendar year.Re-turns over calendar years figure disproportionately in the analysis of fundperformance in the press,in mutual fund ratings and databases,and in theacademic literature.And managers’bonus plans are typically described ascalendar-year based.Calendar quarters would be a secondary target,giventheir prominence in the press~e.g.,the Wall Street Journal’s quarterly pull-out section!,in shareholder reports~e.g.,the quarterly mailings to pension-plan participants!,and elsewhere.Since the two models isolate marking-up activity in different sets of funds—average performers~i.e.,near the S&P!in one case,top performers in theother—it might seem they are easy to distinguish in the data.But the con-centration of mutual fund holdings in certain equities serves to blur thisdistinction.If funds“herd”to certain equities,as is suggested by Lakonishok,Shleifer,and Vishny~1992!,Grinblatt,Titman,and Wermers~1995!,and Karceski ~1999!,and a few determined fund managers mark up some of these secu-rities,then other funds will benefit from the marking effect of these man-agers.Those responsible may not even manage mutual funds;calendar-yearand quarter returns are also important in other institutional-investor cat-egories,such as pension and hedge funds.Pension and hedge fund managersEvidence of Gaming Behavior in Equity Mutual Funds667 may herd with mutual funds when picking stocks and then mark the close. So even if only the benchmark-beating hypothesis is correct,funds in gen-eral would show at least some of the same return seasonality.And the same applies if only the top-performing hedge funds are marking up.So it is not enough to show that the NAVs of some funds go up then down;we also have to test against these alternative passive scenarios.II.NAV Inflation at Quarter-endsIn this section,we show that equity funds are overpriced at the close of calendar quarters,in the sense that investors who sell at the quarter-end NAV earn abnormally high returns,and those who buy earn abnormally low returns.This is apparent both in the Lipper mutual fund indices and in our own database of individual equity funds.The Lipper time series are useful in that they are popular references regarding fund performance~e.g.,daily in the Wall Street Journal!;they extend through July7,2000;and they sort funds along dimensions of interest.The results from our own database ex-tend back further and also permit us to refine our tests on the cross section of the funds and of funds’holdings.Since the time period over which this return accrues is only one day,our results are insensitive to our model of equity market equilibrium.A.Tests Using Lipper Mutual Fund IndicesLipper produces many equity-fund indices.We use the nine“style”indices that constitute a three-by-three sort of the equities concentrated in$Small-cap,Mid-cap,Large-cap%by$Value,Core,Growth%,and are available daily from July13,1992,through the present.These indices allow us to relate our results on NAV inf lation to the well-documented~e.g.,Fama and French ~1992!!variation of average equity returns with size and book-to-market value.From the return on the Lipper style indices,we subtract the return onthe Lipper index of S&P500funds3to obtain excess returns.If NAVs are inf lated at quarter-and year-ends,we should observe abnor-mally high returns on the last day of each quarter and year,and abnormally low returns on the first day.Let R i,t denote the daily excess return of style index i on day t,for t from July14,1992~the first return we can calculate!, to July7,2000~the last date when we downloaded Lipper data!,and run the following OLS indicator-variable regression:R i,tϭb i,0ϩb i,1YEND tϩb i,2YBEG tϩb i,3QEND t~1!ϩb i,4QBEG tϩb i,5MEND tϩb i,6MBEG tϩe i,t3The Lipper index values,and therefore returns,are based on the total returns of their constituent funds,where total returns are calculated by reinvesting dividends on their ex-dates.668The Journal of Financewhere YEND t takes the value of one when t is the last day of a year,and zero otherwise.Similarly,QEND t and MEND t are one on the last day of a calen-dar quarter that is not a year end,and the last day of a month that is not a quarter end,respectively.The variables YBEG t,QBEG t,and MBEG t are defined analogously,except that they are for the first day of the period.We present the fitted coefficients from these nine regressions in Panels A~YEND and YBEG!,B~QEND and QBEG!,and C~MEND and MBEG!of Table I. The results indicate a strong two-day return reversal pattern across month-end,quarter-end,and year-end periods,especially for small-cap and growth funds.The results are strongest for quarter-and year-ends:Of the36coef-ficients in Panels A and B,all but one are in the predicted direction,and all but four are statistically significant at the10percent level.In addition,the magnitudes decrease strongly in market capitalization,and increase moder-ately from value to growth.Finally,the evidence in Panel C around non-quarter-end month ends is weak.There is a small and generally statistically significant increase on the last day of the month,but almost nothing the next day.To test whether the reversal pattern is significantly more intense at quarter-ends than at other month-ends,we rerun the nine regressions with the vari-ables regrouped so that the second and third coefficients pick the marginal effect of being a quarter-end~including year-end!in addition to being a month-end:R i,tϭb i,0ϩb i,1~YEND tϩQEND t!ϩb i,2~YBEG tϩQBEG t!ϩb i,3~YEND tϩQEND tϩMEND t!~2!ϩb i,4~YBEG tϩQBEG tϩMBEG t!ϩe i,t.The results,in Panel D,again show widespread significance.All but one are in the right direction,and all but three are statistically significant at the five percent rejection level.The magnitudes of the abnormal returns are quite large,especially con-sidering they accrue over just a few days in a year.In small-cap growth funds,the quarter-ending positive abnormal returns total435basis points per year,and the quarter-beginning negative returns sum toϪ345basis points.For our purposes,it is clear that quarter-end prices are inf lated in that selling at those prices delivers economic profits,and there is little of this inf lation at other month ends.Further,abnormal returns of this size are unlikely to be compensation for risk.B.Tests Using Daily Individual Mutual Fund ReturnsTo further analyze period-end abnormal returns,we construct a database of daily returns on2,829funds using daily price,dividend,and dividend reinvestment NAV data from Micropal.Our database consists of diversified open-end equity mutual funds in the aggressive growth,growth and income,Evidence of Gaming Behavior in Equity Mutual Funds669Table IExcess Returns,in Basis Points,of the Lipper Mutual FundIndices around Period-endsNine of the Lipper mutual fund total-return indices are a three by three sort of equity funds, $Small-cap,Mid-CAP,Large-cap%by$Value,Core,Growth%.There is also an index of S&P500 funds.Daily index levels begin July13,1992,and run through July7,2000,a total of2019 trading days.For each of the nine indices,we calculate its daily return net of the S&P-fund index and then for Panels A,B,and C we regress this excess return on six100indicator vari-ables:YEND~last trading day of the year!,YBEG~first of the year!,QEND~last of a calendar quarter other than the fourth!,QBEG~first of a calendar quarter other than the first!,MEND ~last of a month but not the last of a quarter!,and MBEG~first of a month but not the first of a quarter!.The coefficients are arranged into panels:YEND0YBEG in Panel A,QEND0QBEG in Panel B,and MEND0MBEG in Panel C.For Panel D,we use only four100variables: YENDϩQEND,YBEGϩQBEG,YENDϩQENDϩMEND,and YBEGϩQBEGϩMBEG,and we report the coefficients on the first two100variables analogously to the other panels.Results are in basis points.Each of the18time-series regressions has2018observations.For Panels A,B,and C the model isX tϭb0ϩb1YEND tϩb2YBEG tϩb3QEND tϩb4QBEG tϩb5MEND tϩb6MBEG tϩe t.For Panel D,the model isX tϭb0ϩb1~YEND tϩQEND t!ϩb2~YBEG tϩQBEG t!ϩb3~YEND tϩQEND tϩMEND t!ϩb4~YBEG tϩQBEG tϩMBEG t!ϩe t.Small-cap Mid-cap Large-capPanel A:Turn of the Year,YEND0YBEG CoefficientsValue141**0Ϫ30120**0Ϫ34*25**0Ϫ17** Core153**0Ϫ53**155**0Ϫ73**30**0Ϫ20** Growth174**0Ϫ96**157**0Ϫ78**37**0Ϫ33** Panel B:Turn of Calendar Quarters Other than Fourth,QEND0QBEG CoefficientsValue59**0Ϫ33**31**0Ϫ14405Core71**0Ϫ52**60**0Ϫ55**8**0Ϫ5* Growth87**0Ϫ83**69**0Ϫ82**15*0Ϫ17** Panel C:Turn of Months Other than Quarter-ends,MEND0MBEG CoefficientsValue25**0Ϫ910**0126**0Ϫ2 Core21**0Ϫ225**0Ϫ14**0Ϫ1 Growth28**0626**06404Panel D:Quarters versus Other Months,YENDϩQEND0YBEGϩQBEG CoefficientsValue55**0Ϫ24*43**0Ϫ31**402Core70**0Ϫ50**59**0Ϫ59**9**0Ϫ8** Growth81**0Ϫ92**65**0Ϫ87**17**0Ϫ25** *Significantly different from zero at10percent rejection level.**Significantly different from zero at5percent rejection level.670The Journal of Financeand long-term growth categories as defined by Carhart~1997!,and it runs from January2,1985,to August29,1997.There is some survivor bias in the early years of Micropal data.4We calculate total-return time series~reinvest-ing dividends on ex-dates!and also create four equal-weighted fund indices: one for each of the fund categories above,and one for all funds in our sam-ple.For each index,we define its excess return as its own return minus that of the S&P500index~which does not include dividends;we do not use the Lipper index of S&P500funds as it is not available daily for much of this period!.We run the indicator-variable regression~1!,described above,and report the results in Panel A of Table II.These results mirror those from Lipper.Fund prices are significantly in-f lated at quarter ends,especially year ends,and there is little or no inf la-tion at other month ends.While these tests show that the mean return is higher on quarter ends,it is also important to ask if this inf lation is wide-spread across funds.To address this,we estimate regression~1!again,but replace the dependent variable with the percentage of funds that outper-formed the S&P on that day.We show these results in Panel B of Table II. We find80percent of funds beating the S&P on the last day of the fourth quarter,compared to37percent beating the S&P the next day.At the turn of other quarters,62percent beat the S&P on the last day,and40percent the next.In the fund categories,we see the strongest results among aggres-sive growth funds—91percent and34percent around the year-end,70per-cent and34percent around other quarter-ends—and the weakest among growth and income funds.Since growth and income is closest to the value categorization of Lipper,the pattern across fund categories matches that of Table I.Tables I and II show that equity funds are significantly overvalued at the ends of quarters,especially the fourth,compared to just before and after. We see this in the Lipper indices,in our own database,and in the fraction of funds beating the S&P500.The inf lation cuts across styles,but it is stron-gest in funds with a small-cap or growth orientation.It is worth noting that this is not a projection of any previously reported regularity in equity re-turns.The quarter-end results are completely novel,and the year-end results are not indicated in the extensive year-end literature.5Further,as discussed above,there are no market microstructure issues surrounding mutual fund NAVs like there are with individual stock prices,making the results all the more meaningful.4For example,zero of the463funds with Micropal data for some of1985die in1985,whereas one of the493similarly defined funds in the CRSP monthly mutual fund database with data for some of1985dies in1985.The analogous numbers for1990are29out of807in Micropal and 8of700in CRSP,and for1995it is66of2,063in Micropal and67of1,979in CRSP.5The closest would probably be Table III of Sias and Starks~1997!,which addresses a dif-ferent frequency~annual!,a different category of institutions~all of them!,and finds very different numbers.Sias and Starks also conclude that most of the turn-of-the year effect is due to individual investor trading,whereas we find strong evidence of turn-of-the-year effects due to specific institutions~mutual funds!trading.。
中考英语投资理财的策略选择单选题40题
中考英语投资理财的策略选择单选题40题1.If you want to save money for the future, you can put it in a _____.A.bankB.shopC.restaurantD.hotel答案：A。
本题考查词汇理解。
bank 银行，可以存钱；shop 商店，是购物的地方；restaurant 餐馆，用于吃饭；hotel 酒店，是住宿的地方。
只有bank 可以存钱用于未来储蓄。
2._____ is a way to make your money grow.A.SavingsB.InvestmentC.SpendingD.Borrowing答案：B。
savings 储蓄，通常不能让钱快速增长；investment 投资是让钱增长的一种方式；spending 花费，会让钱减少；borrowing 借款，也不是让钱增长的方式。
3.You can start _____ by putting a small amount of money aside every month.A.investingB.spendingC.borrowing答案：A。
investing 投资，可以通过每月存一小笔钱开始；spending 花费与题意不符；borrowing 借款和lending 出借也不符合存钱投资的意思。
4.Saving money regularly is a good _____.A.habitB.jobC.hobbyD.game答案：A。
habit 习惯，定期存钱是个好习惯；job 工作；hobby 爱好，存钱不是爱好；game 游戏，存钱不是游戏。
5.When you save money, you are _____ for the future.A.preparingB.spendingC.borrowingD.lending答案：A。
preparing 准备，存钱是为未来做准备；spending 花费；borrowing 借款；lending 出借。
14 The Mutual Fund Mess
Chapter 14The Mutual Fund MessI．教学目的通过本文的学习，让学生对美国共同基金市场有所了解，使他们明白投资共同基金的利弊和作为投资者如何经营和运作不同基金以确保收益等相关方面的问题，使他们学会分析和预测基金市场的走向和趋势。
本文涉及到许多经贸知识，如：共同基金、养老基金、资本收益、标准普尔指数、套利基金、净高值等，这些内容的基本概念学生也应全面掌握。
另外，增强学生对上述内容的英语表达也是本课应达到的教学目的之一。
II．教学计划拟使用四课时完成本课内容。
一课时介绍背景知识，两课时用于课文讲解及难点讨论，最后一课时可就某一相关问题（如：共同基金投资是利大于弊还是弊大于利？如何运作小型基金以确保收益等）展开辩论。
III．教学方法以学生为中心，通过师生互动、各抒己见的方式理解和认识课文中涉及到的问题（也包括语言方面的问题）。
IV．背景知识1. About the author:Mara Hovanesian——Business Week’s markets and investments editorLewis Braham——Business Week’s personal finance editor.2. What is a Mutual Fund?1) Overview DescriptionA mutual fund is a company that combines, or pools, investors' money and, generally, purchases stocks or bonds. Ideally, a fund's size and resultant efficiency, combined with experienced management, provide advantages for investors that include diversification, expert stock and bond selection, low costs, and convenience.In terms of legal structure, a mutual fund is a corporation that receives preferential tax treatment under the U.S. Internal Revenue Code. The assets of a mutual fund consist almost entirely of the securities it holds in its portfolio. The most common type of mutual fund, called an open-end fund, allows investors to buy and sell stock in it on an ongoing basis.2) How it WorksThe mutual fund issues shares of stock (just like any other corporation) to investors in exchange for cash. It is interesting to note that funds do not issue a pre-determined amount of stock, as do most corporations; new shares are issued as each new investment is made. Investors thus become part-owners of the fund itself, and thereby the assets of the fund. The fund, in turn, uses investors' cash to purchase securities, such as stocks and bonds. As mentioned above, the primary assets of a fund are the securities it invests in (other assets, such as equipment, are a relatively small part of the total assets of a fund).3) Pricing and ValuationThe value of the shares of an open-end mutual fund is readily determined. Each day, the accounting staff of a fund simply adds up the value of all the securities in the portfolio, adds in other assets, deducts liabilities, and comes up with a net overall value. It is then a simple matter to divide the net assets by the number of shares outstanding. This is called the net asset value, and is the price at which investors buy and sell shares from the fund. The net asset value is listed in the financial section of many major newspapers.Let's look at a simplified example. Suppose we start a brand-new fund, the We Fly Higher Stock Fund. On its first day of operation, the We Fly Higher Stock Fund (WFHSF, for short) receives $100 from John Smith. At $10.00 per share, Mr. Smith receives ten shares. (At the start, the fund's starting share price-in this case, $10.00 per share -- is arbitrary and set by the Fund.) The result of the transaction? The assets of the Fund are $100 in cash, and there are ten shares outstanding. Divide $100 in assets by 10 shares to get $10.00 per share.On day two, WFHSF buys two shares of Amalgamated Fish & Chips, a seafood and technologycompany, for $50 each. We still have a per share value in WFHSF of $10.00, because the total assets of the fund are still worth $100 (2 shares of Amalgamated at $50.00 each), and there are still ten shares of the fund outstanding. However, from this point on, the share value in the Fund will vary, and will no longer be arbitrary. Federal regulations require a daily re-valuation process, called marking-to-market, of all open-end mutual funds. Marking to market refers to adjusting the per-share price of the fund to reflect changes in the Fund's portfolio, or asset, value. In this way, investors know the true value of their investments on a daily basis, and as new investors buy into, and sell out of, the Fund, everyone gets a fair shake. With that in mind, let's see how the fluctuations in daily share prices occur, as we continue to follow the fortunes of the We Fly Higher Stock Fund.On day three, mercury contamination (resulting from improper disposal of chip-manufacturing by-products) is found in Amalgamated's fish, and the bad news spreads rapidly. Fearing the worst, investors flock to sell Amalgamated shares, and the price of its stock plunges 50%, from $50 to $25 per share. Of course, back at the Fund, the assets have declined, too, because the Fund's assets are entirely in Amalgamated stock. The two shares the Fund holds have declined to $25 per share, as noted, and now are worth a sum total of $50. The accounting department at the Fund calculates the new value per share of the Fund by adding up all the assets, now $50.00, and dividing by ten (the number of shares outstanding), and note that each share of the Fund is now worth only $5.00. This is called the net asset value (per share is implied).4) Fund Objectives And the ProspectusWe have learned that mutual funds are investment companies, and that they may invest in securities of various kinds, such as stocks and bonds. Money market mutual funds, which constitute a major portion of the fund universe, invest only in very short-term bonds. A fund's objective, described in the prospectus, gives broad indications of the types of investments a fund may make. The prospectus discloses important specific details about the fund that the prospective investor should be aware of, including allowable investments, expenses, risks, and financial statements. Therefore, investors should always read the prospectus carefully before investing or sending money!The following paragraphs will give you a more in-depth view of the contents and purpose of the prospectus. The most important aspect of a fund is its investment objective. The fund's objective tells investors the goals the fund seeks to achieve, and a good deal about how it intends to achieve them. A balanced fund will generally hold stocks and bonds. A fund seeking growth fund will utilize stocks. A fund seeking income with little or no concern for growth will generally hold bonds. The objective of a fund is so fundamental that it generally determines the category into which a fund will be assigned. For example, we speak of growth funds, foreign funds, income funds, and money-market funds. The stated objective is usually quite short, one or two paragraphs in length, and can be found in the very beginning of the fund's prospectus.Listed below are some examples of major objective categories:Preservation of Capital & Liquidity--Achieved by investing in very short-term bondsIncome--Achieved by investing in bondsBalanced--Achieved by investing in bonds and stocksGrowth--Achieved by investing in stocks5) Advantages and Disadvantages of Mutual FundsThe primary advantages of mutual funds are summed up in an oft-heard litany: diversification, professional management and convenience. By and large, most funds do achieve this basic mission. Over and above that, funds offer lower costs by virtue of their size; they may receive breaks on trading costs, and they certainly spread many internal costs over a large shareholder base, allowing for economies of scale. On the negative side, funds make tax planning difficult (because the timing of taxable distributions is uncertain), and may be somewhat difficult to track in terms of what they actually are investing in (which is generally not disclosed until after the fact for competitive reasons). In addition, so-called non-substantial changes in the way the funds are managed (such as manager switches) may not be disclosed to investors by fund companies in a timely manner.Diversification is a tremendous benefit of mutual funds. For a low minimum investment, in most cases, an investor can own hundreds or thousands of individual security issues through a single fund, and thus spread risk over a substantially broader base. Taking things one step further,different types of funds allow participation in many types of securities, such as foreign stocks, foreign bonds, real estate securities, technology stocks, small companies, and so on. Thus, a single investor can assemble a portfolio of mutual funds that invest in different asset classes. The chance of any single person being sufficiently well-versed to manage such diverse investments is highly unlikely, even if done full-time! In the extreme, funds may even own other mutual funds, resulting in a virtual all-in-one portfolio. An example of the all-in-one, "fund of funds" approach would be Vanguard's Star Fund. The Star Fund invests in about eight other Vanguard funds with different objectives -- small stock, blue chip stock, bonds, etc. -- with no additional expenses added onto the low expenses of the underlying funds. Such a fund might serve as an entire investment portfolio for the small investor.The second potential benefit, professional management, is always guaranteed, but sadly, only because managers of funds are paid for their services. Fortunately, truly dismal mutual fund management is rare (I can think of only a handful of cases where investment returns have badly trailed the relevant market measures over substantial periods of time). Finally, there is no doubt that investors benefit from substantial convenience by investing in mutual funds. They are relieved of the day-to-day tasks involved in researching, buying and selling securities. In the case of individual securities, day-to-day vigilance is a virtual requirement, especially in a diversified portfolio, with many holdings. Mutual funds, on the other hand, need not be looked at on a daily, weekly or even monthly basis. Occasional reviews, perhaps once a year, will suffice. (Helpful Hint: the same guidelines and practices for picking a mutual fund in the first place are also useful for fund reviews.)Perhaps the biggest negative aspect of mutual funds is tax-planning difficulty and uncertainty. Funds make taxable distributions in a largely hard-to-foresee manner. In addition, they are required to distribute long-term capital gains in the year realized; thus the investor loses control over the timing of the realization and taxation of capital gains, contrary to the situation where an investor who owns securities outright, can choose sale dates.2. Small Fund Comes into BeingThis is the year of the boutique manager. The industry's stars look a lot like Boston Partners AssetManagement LP, whose Small Cap Value Fund is up 53% in the 12 months ended Dec. 4. Its second fund--the Boston Partners Long/Short Equity Fund, is up 35%. Both are just three years old. Other newcomers such as the CGM Trust Focus Fund and Ameristock Focused Value are up 40% and 53%, respectively, this year. There has never been a better time to manage a small or midsize fund. These small, regional firms are usually very profitable, and they are not under any tremendous pressure to get bigger to survive. This is a business driven by performance. Performance is what they deliver. Today, more than 1,350 independent firms manage about $100 million each, according to researcher Nelson Information, a unit of Thomson Financial. And they are the crème de la crème of stock-pickers--sought after not only by the well-heeled but increasingly by big-time institutional clients.Now, as nest eggs shrink and anxieties about the markets swell, do-it-yourselfers are keener than ever on professional help. That's where the advisers come in. The Internet is their low-cost back office, objectivity their selling tool. Rather than collect commissions on each sale, they charge a percentage of investors' assets as an annual fee. They don't have to peddle any parent company's products: Their only incentive is to increase clients' net worth--and that boils down to buying low-cost funds with standout performance. They take the time to find small up-and-comers that can make an outsize contribution to returns. So important is their link to investors these days that Fidelity Investments, Montgomery Asset Management, and others are falling over themselves to woo RIAs with free seminars, software, and other perks.Such small funds are economically viable thanks to information technology and the ease of outsourcing administrative tasks such as shareholder communications and quarterly statements. A decade ago, it cost upwards of $100,000 to launch a mutual fund; today, it can run as little as $10,000. Now, a fund with only $4 million to $8 million in assets can be profitable, vs. about $75 million in the mid-1990s, says Kenneth D. Trumpfheller, president of Unified Fund Services of Indianapolis, an administrator for 31 independent fund groups. "All these folks have to do is raise and manage the money, which is what they want to do anyway," he says.V．课文讲解概念讲解mutual fund 共同基金hedge fund 套利基金pension fund 养老基金capital gains 资本收益1987 stock market crash 1987年股票暴跌Securities & Exchange Commission 证券交易管理委员会课文注释1.“ ‘Am I concerned?’ isn’t a good question,” she grumbles, “ ‘ Am I thinking about never buying another mutual fund again?’ is a better one. (p.295 L8)“she grumbles”是个插入语，它将此句分开，形成前后两部分，使这两部分在结构上对仗、意思上对照：即由一个设问句作主语+ isn’t +宾语和另一个设问句作主语+ is +宾语组成两个对仗结构的句子，并通过自问自答的句子形式来表示这位经纪人目前沮丧的心情和对投资于基金的灰心、失望。
埃森哲：管理咨询经典(续)
Research (some basics)
Graphics (from data to chart)
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MANAGEMENT CONSULTING: SELECTED METHODS
• Rankings • Important Frameworks • Benchmarking
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MANAGEMENT CONSULTING: SELECTED METHODS
• Rankings • Frameworks • Benchmarking
• Balanced scorecards
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Rank* 1990 1995 Volume No. of USD billions tranches Market share Percent
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Bookrunner
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21 1 6 9 3 36
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2 3 4 5 6 7
Merrill Lynch and Co Inc.
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Introduction/Expectations Example consultant company Consulting: Nature, Trends, Careers Selected Methods (frameworks)
投资学第7版Test-Bank答案24
Multiple Choice Questions1. Trading activity by mutual funds just prior to quarterly reporting dates is known asA) insider trading.B) program trading.C) passive security selection.D) window dressing.E) none of the above.Answer: D Difficulty: ModerateRationale: Mutual funds must disclose portfolio composition quarterly, and trading activity that immediately precedes the reporting date is referred to as "window dressing". Thespeculation is that window dressing involves changes in portfolio composition, which gives the appearance of successful stock selection.2. The comparison universe is __________.A) a concept found only in astronomyB) the set of all mutual funds in the worldC) the set of all mutual funds in the U. S.D) a set of mutual funds with similar risk characteristics to your mutual fundE) none of the aboveAnswer: D Difficulty: EasyRationale: A mutual fund manager is evaluated against the performance of managers of funds of similar risk characteristics.3. __________ did not develop a popular method for risk-adjusted performanceevaluation of mutual funds.A) Eugene FamaB) Michael JensenC) William SharpeD) Jack TreynorE) A and BAnswer: A Difficulty: EasyRationale: Michael Jensen, William Sharpe, and Jack Treynor developed popular models for mutual fund performance evaluation.4. Henriksson (1984) found that, on average, betas of funds __________ during marketadvancesA) increased very significantlyB) increased slightlyC) decreased slightlyD) decreased very significantlyE) did not changeAnswer: C Difficulty: ModerateRationale: Portfolio betas should have a large value if the market is expected to perform well and a small value if the market is not expected to perform well; thus, these results reflect the poor timing ability of mutual fund managers.5. Most professionally managed equity funds generally __________.A) outperform the S&P 500 index on both raw and risk-adjusted return measuresB) underperform the S&P 500 index on both raw and risk-adjusted return measuresC) outperform the S&P 500 index on raw return measures and underperform the S&P500 index on risk-adjusted return measuresD) underperform the S&P 500 index on raw return measures and outperform the S&P500 index on risk-adjusted return measuresE) match the performance of the S&P 500 index on both raw and risk-adjusted returnmeasuresAnswer: B Difficulty: ModerateRationale: Most mutual funds do not consistently, over time, outperform the S&P 500 index on the basis of either raw or risk-adjusted return measures.6. Suppose two portfolios have the same average return, the same standard deviation ofreturns, but portfolio A has a higher beta than portfolio B. According to the Sharpemeasure, the performance of portfolio A __________.A) is better than the performance of portfolio BB) is the same as the performance of portfolio BC) is poorer than the performance of portfolio BD) cannot be measured as there is no data on the alpha of the portfolioE) none of the above is true.Answer: B Difficulty: ModerateRationale: The Sharpe index is a measure of average portfolio returns (in excess of the risk free return) per unit of total risk (as measured by standard deviation).7. Consider the Sharpe and Treynor performance measures. When a pension fund is largeand has many managers, the __________ measure is better for evaluating individualmanagers while the __________ measure is better for evaluating the manager of a small fund with only one manager responsible for all investments.A) Sharpe, SharpeB) Sharpe, TreynorC) Treynor, SharpeD) Treynor, TreynorE) Both measures are equally good in both cases.Answer: C Difficulty: ModerateRationale: The Treynor measure is the superior measure if the portfolio is a small portion of many portfolios combined into a large investment fund. The Sharpe measure is superiorif the portfolio represents the investor's total risky investment position.8. Suppose you purchase 100 shares of GM stock at the beginning of year 1, and purchaseanother 100 shares at the end of year 1. You sell all 200 shares at the end of year 2.Assume that the price of GM stock is $50 at the beginning of year 1, $55 at the end of year 1, and $65 at the end of year 2. Assume no dividends were paid on GM stock.Your dollar-weighted return on the stock will be __________; your time-weightedreturn on the stock.A) higher thanB) the same asC) less thanD) exactly proportional toE) more information is necessary to answer this questionAnswer: A Difficulty: ModerateRationale: In the dollar-weighted return, the stock's performance in the second year, when 200 shares are held, has a greater influence on the overall dollar-weighted return. Thetime-weighted return ignores the number of shares held.9. Suppose the risk-free return is 4%. The beta of a managed portfolio is 1.2, the alpha is1%, and the average return is 14%. Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio asA) 11.5%B) 14%C) 15%D) 16%E) none of the aboveAnswer: A Difficulty: DifficultRationale: 1% = 14% - [4% + 1.2(x - 4%)]; x = 11.5%.10. Suppose the risk-free return is 3%. The beta of a managed portfolio is 1.75, the alpha is0%, and the average return is 16%. Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio asA) 12.3%B) 10.4%C) 15.1%D) 16.7%E) none of the aboveAnswer: B Difficulty: DifficultRationale: 0% = 16% - [3% + 1.75(x - 3%)]; x = 10.4%.11. Suppose the risk-free return is 6%. The beta of a managed portfolio is 1.5, the alpha is3%, and the average return is 18%. Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio asA) 12%B) 14%C) 15%D) 16%E) none of the aboveAnswer: A Difficulty: DifficultRationale: 3% = 18% - [6% + 1.5(x - 6%)]; x = 12%.12. Suppose a particular investment earns an arithmetic return of 10% in year 1, 20% inyear 2 and 30% in year 3. The geometric average return for the year period will be__________.A) greater than the arithmetic average returnB) equal to the arithmetic average returnC) less than the arithmetic average returnD) equal to the market returnE) cannot tell from the information givenAnswer: C Difficulty: ModerateRationale: The geometric mean will always be less than the arithmetic mean unless the returns in all periods are equal (in which case the two means will be equal).13. Suppose you buy 100 shares of Abolishing Dividend Corporation at the beginning ofyear 1 for $80. Abolishing Dividend Corporation pays no dividends. The stock price at the end of year 1 is $100, the price $120 at the end of year 2, and the price is $150 at the end of year 3. The stock price declines to $100 at the end of year 4, and you sell your 100 shares. For the four years, your geometric average return isA) 0.0%B) 1.0%C) 5.7%D) 9.2%E) 34.5%Answer: C Difficulty: DifficultRationale: [(1.25)(1.20)(1.25)(0.6667)]1/4 - 1.0 = 5.7%14. You want to evaluate three mutual funds using the information ratio measure forperformance evaluation. The risk-free return during the sample period is 6%, and the average return on the market portfolio is 19%. The average returns, residual standard deviations, and betas for the three funds are given below.The fund with the highest information ratio measure is __________.A) Fund AB) Fund BC) Fund CD) Funds A and B are tied for highestE) Funds A and C are tied for highestAnswer: B Difficulty: DifficultRationale:Information ratio = αP/σ(e P); A: αP = 20 - 6 - .8(19 - 6) = 3.6; 3.6/4 = 0.9; B: αP = 21 -6 - 1(19 - 6) = 2.0; 2/1.25 = 1.6; C: αP = 23 - 6 - 1.2(19 - 6) = 1.4; 1.4/1.20 = 1.16. 15. You want to evaluate three mutual funds using the Sharpe measure for performanceevaluation. The risk-free return during the sample period is 6%. The average returns, standard deviations and betas for the three funds are given below, as is the data for the S&P 500 index.The fund with the highest Sharpe measure is __________.A) Fund AB) Fund BC) Fund CD) Funds A and B are tied for highestE) Funds A and C are tied for highestAnswer: C Difficulty: ModerateRationale: A: (24% - 6%)/30% = 0.60; B: (12% - 6%)/10% = 0.60; C: (22% - 6%)/20% = 0.80;S&P 500: (18% - 6%)/16% = 0.75.16. You want to evaluate three mutual funds using the Sharpe measure for performanceevaluation. The risk-free return during the sample period is 4%. The average returns, standard deviations and betas for the three funds are given below, as is the data for the S&P 500 index.The fund with the highest Sharpe measure is __________.A) Fund AB) Fund BC) Fund CD) Funds A and B are tied for highestE) Funds A and C are tied for highestAnswer: B Difficulty: ModerateRationale: A: (18% - 4%)/38% = 0.368; B: (15% - 4%)/27% = 0.407; C: (11% - 4%)/24% =0.292; S&P 500: (10% - 4%)/22% = 0.273.17. You want to evaluate three mutual funds using the Sharpe measure for performanceevaluation. The risk-free return during the sample period is 5%. The average returns, standard deviations and betas for the three funds are given below, as is the data for the S&P 500 index.The investment with the highest Sharpe measure is __________.A) Fund AB) Fund BC) Fund CD) the indexE) Funds A and C are tied for highestAnswer: D Difficulty: ModerateRationale: A: (23% - 5%)/30% = 0.60; B: (20% - 5%)/19% = 0.789; C: (19% - 5%)/17% =0.824; S&P 500: (18% - 5%)/15% = 0.867.18. You want to evaluate three mutual funds using the Treynor measure for performanceevaluation. The risk-free return during the sample period is 6%. The average returns, standard deviations, and betas for the three funds are given below, in addition toinformation regarding the S&P 500 index.The fund with the highest Treynor measure is __________.A) Fund AB) Fund BC) Fund CD) Funds A and B are tied for highestE) Funds A and C are tied for highestAnswer: A Difficulty: DifficultRationale: A: (13% - 6%)/0.5 = 14; B: (19% - 6%)/1.0 = 13; C: (25% - 6%)/1.5 = 12.7; S&P 500: (18% - 6%)/1.0 = 12.19. You want to evaluate three mutual funds using the Jensen measure for performanceevaluation. The risk-free return during the sample period is 6%, and the average return on the market portfolio is 18%. The average returns, standard deviations, and betas for the three funds are given below.The fund with the highest Jensen measure is __________.A) Fund AB) Fund BC) Fund CD) Funds A and B are tied for highestE) Funds A and C are tied for highestAnswer: C Difficulty: DifficultRationale: A: 17.6% -[6% + 1.2(18% - 6%)] = - 2.8%; B: 17.5% - [6% + 1.0(18% - 6%)] = - 0.5;C: 17.4% - [6% + 0.8(18% - 6%)] = + 1.8.20. Suppose you purchase one share of the stock of Volatile Engineering Corporation at thebeginning of year 1 for $36. At the end of year 1, you receive a $2 dividend, and buyone more share for $30. At the end of year 2, you receive total dividends of $4 (i.e., $2 for each share), and sell the shares for $36.45 each. The time-weighted return on your investment is ________.A) -1.75%B) 4.08%C) 8.53%D) 11.46%E) 12.35%Answer: C Difficulty: ModerateRationale: Year 1: ($30 + $2 - $36)/$36 = - 11.11%; Year 2: ($36.45 + $2 - $30)/$30 = 28.17%;Average: 8.53%.21. Suppose you purchase one share of the stock of Volatile Engineering Corporation at thebeginning of year 1 for $36. At the end of year 1, you receive a $2 dividend, and buy one more share for $30. At the end of year 2, you receive total dividends of $4 (i.e., $2 for each share), and sell the shares for $36.45 each. The dollar-weighted return on your investment is _______.A) -1.75%B) 4.08%C) 8.53%D) 8.00%E) 12.35%Answer: E Difficulty: ModerateRationale: $36 + $30/(1 + r) = $2/(1 + r) + $4/(1 + r)2 + $72.90/(1 + r)2; r = 12.35%.22. Suppose you purchase one share of the stock of Cereal Correlation Company at thebeginning of year 1 for $50. At the end of year 1, you receive a $1 dividend, and buy one more share for $72. At the end of year 2, you receive total dividends of $2 (i.e., $1 for each share), and sell the shares for $67.20 each. The time-weighted return on your investment is __________.A) 10.00%B) 8.78%C) 19.71%D) 20.36%E) none of the aboveAnswer: D Difficulty: ModerateRationale: Year 1: ($72 + $1 - $50)/$50 = 46%; Year 2: ($67.20 + $1 - $72)/$72 = -5.28%;Average: 20.36%.23. Suppose you purchase one share of the stock of Cereal Correlation Company at thebeginning of year 1 for $50. At the end of year 1, you receive a $1 dividend, and buy one more share for $72. At the end of year 2, you receive total dividends of $2 (i.e., $1 for each share), and sell the shares for $67.20 each. The dollar-weighted return on your investment is __________.A) 10.00%B) 8.78%C) 19.71D) 20.36%E) none of the aboveAnswer: B Difficulty: ModerateRationale: $50 + $72 /(1 + r) = $1/(1 + r) + $2/(1 + r)2 + $134.40/(1 + r)2; r = 8.78%.24. Suppose you own two stocks, A and B. In year 1, stock A earns a 2% return and stock Bearns a 9% return. In year 2, stock A earns an 18% return and stock B earns an 11%return. __________ has the higher arithmetic average return.A) stock AB) stock BC) the two stocks have the same arithmetic average returnD) at least three periods are needed to calculate the arithmetic average returnE) none of the aboveAnswer: C Difficulty: ModerateRationale: A: (2% + 18%)/2 = 10%; B: (9% + 11%)/2 = 10%.25. Suppose you own two stocks, A and B. In year 1, stock A earns a 2% return and stock Bearns a 9% return. In year 2, stock A earns an 18% return and stock B earns an 11%return. Which stock has the higher geometric average return?A) stock AB) stock BC) the two stocks have the same geometric average returnD) at least three periods are needed to calculate the geometric average return.E) none of the aboveAnswer: B Difficulty: ModerateRationale: A: [(1.02)(1.18)]1/2 - 1 = 9.71%; B: [(1.09)(1.11)]1/2 - 1 = 10.00%.Use the following to answer questions 26-29:The following data are available relating to the performance of Sooner Stock Fund and the market portfolio:26. What is the Sharpe measure of performance evaluation for Sooner Stock Fund?A) 1.33%B) 4.00%C) 8.67%D) 38.6%E) 37.14%Answer: D Difficulty: ModerateRationale: (20% - 3%)/44% = 0.386, or 38.6%.27. What is the Treynor measure of performance evaluation for Sooner Stock Fund?A) 1.33%B) 4.00%C) 8.67%D) 9.44%E) 37.14%Answer: D Difficulty: ModerateRationale: (20% - 3%)/1.8 = 9.44%.28. Calculate the Jensen measure of performance evaluation for Sooner Stock Fund.A) 2.6%B) 4.00%C) 8.67%D) 31.43%E) 37.14%Answer: A Difficulty: ModerateRationale:αP = 20% - [3% + 1.8(11% - 3%)] = 2.6%.29. Calculate the information ratio for Sooner Stock Fund.A) 1.53B) 1.30C) 8.67D) 31.43E) 37.14Answer: B Difficulty: ModerateRationale:αP = 20% - [3% + 1.8(11% - 3%)] = 2.6%, 2.6% / 2.00% = 1.3.Use the following to answer questions 30-33:The following data are available relating to the performance of Monarch Stock Fund and the market portfolio:30. What is the information ratio measure of performance evaluation for Monarch StockFund?A) 1.00%B) 280.00%C) 44.00%D) 50.00%E) none of the aboveAnswer: B Difficulty: ModerateRationale: αP = 16% - [4% +1.15(12% - 4%)] = 2.8%; αP/σ(e P) = 2.8%/1% = 2.8, or280%.31. Calculate Sharpe's measure of performance for Monarch Stock Fund.A) 1.00%B) 46.00%C) 44.00%D) 50.00%E) none of the aboveAnswer: B Difficulty: ModerateRationale: (16 - 4)/ 26 = .4632.Calculate Treynor's measure of performance for Monarch Stock Fund.A) 10.40%B) 8.80%C) 44.00%D) 50.00%E) none of the aboveAnswer: A Difficulty: ModerateRationale: (16 - 4)/1.15 = 10.433. Calculate Jensen's measure of performance for Monarch Stock Fund.A) 1.00%B) 2.80%C) 44.00%D) 50.00%E) none of the aboveAnswer: B Difficulty: ModerateRationale: 16 - [4 + 1.15 (12 - 4)] = 2.80%Use the following to answer questions 34-37:The following data are available relating to the performance of Seminole Fund and the market portfolio:34. If you wanted to evaluate the Seminole Fund using the M2 measure, what percent of theadjusted portfolio would need to be invested in T-Bills?A) -36% (borrow)B) 50%C) 8%D) 36%E) 73%Answer: E Difficulty: ModerateRationale: 22/30 = .733335. Calculate the M2 measure for the Seminole Fund.A) 4.0%B) 20.0%C) 2.86%D) 0.8%E) 40.0%Answer: D Difficulty: ModerateRationale: 22/30 = .7333; 1 - .7333 = .2667; M2 = [.7333 (18) + .2667 (6)] - 14 = 0.8%.36. If the Seminole Fund is actively managed, fairly priced, and will be mixed with themarket index portfolio, calculate the value of the measure that should be used forevaluation.A) 4.0%B) 20.0%C) 2.86%D) 0.8%E) 40%Answer: E Difficulty: DifficultRationale: The Sharpe ratio is the correct measure to use in this case. (18 - 6) / 30 = 40% 37. If the Seminole Fund is actively managed and will be mixed with the market indexportfolio, but you suspect it may be mispriced, calculate the value of the measure that should be used for evaluation.A) 4.0%C) 2.86%D) 0.8%E) 40%Answer: B Difficulty: DifficultRationale: The information ratio is the correct measure to use in this case. AP=18% - [6%+1.4*(14%-6%)] = 0.8%, Information Ratio= 0.8%/4.0%=.20= 20%Use the following to answer questions 38-41:The following data are available relating to the performance of Wildcat Fund and the market portfolio:38. What is the information ratio measure of performance evaluation for Wildcat Fund?A) 1.00%B) 8.80%C) 44.00%D) 50.00%E) none of the aboveAnswer: D Difficulty: ModerateRationale:αP = 18% - [7% +1.25(15% - 7%)] = 1%; αP/σ(e P) = 1%/2% = 0.50, or 50.00%.39. Calculate Sharpe's measure of performance for Wildcat Fund.A) 1.00%B) 8.80%C) 44.00%D) 50.00%E) none of the aboveAnswer: C Difficulty: ModerateRationale: (18 - 7)/ 25 = .4440. Calculate Treynor's measure of performance for Wildcat Fund.A) 1.00%B) 8.80%D) 50.00%E) none of the aboveAnswer: B Difficulty: ModerateRationale: (18 - 7)/1.25 = 8.841. Calculate Jensen's measure of performance for Wildcat Fund.A) 1.00%B) 8.80%C) 44.00%D) 50.00%E) none of the aboveAnswer: A Difficulty: ModerateRationale: 18 - [7 + 1.25 (15 - 7)] = 1.00%Use the following to answer questions 42-45:The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio:42. What is the Sharpe measure of performance evaluation for Long Horn Stock Fund?A) 1.33%B) 4.00%C) 8.67%D) 31.43%E) 37.14%Answer: E Difficulty: ModerateRationale: (19% - 6%)/35% = 0.3714, or 37.14%.43. What is the Treynor measure of performance evaluation for Long Horn Stock Fund?A) 1.33%B) 4.00%C) 8.67%D) 31.43%Answer: C Difficulty: ModerateRationale: (19% - 6%)/1.5 = 8.67%.44. Calculate the Jensen measure of performance evaluation for Long Horn Stock Fund.A) 1.33%B) 4.00%C) 8.67%D) 31.43%E) 37.14%Answer: B Difficulty: ModerateRationale: αP = 19% - [6% + 1.5(12% - 6%)] = 4.00%.45. Calculate the information ratio for Long Horn Stock Fund.A) 1.33B) 4.00C) 8.67D) 31.43E) 37.14Answer: A Difficulty: ModerateRationale:αP = 19% - [6% + 1.5(12% - 6%)] = 4.00%, 4.00% / 3.00% = 1.33.Use the following to answer questions 46-48:In a particular year, Razorback Mutual Fund earned a return of 1% by making the following investments in asset classes:46. The total excess return on the Razorback Fund's managed portfolio was __________.A) -1.80%B) -1.00%C) 0.80%D) 1.00%E) none of the aboveAnswer: B Difficulty: ModerateRationale: 1% - 2% = -1%.47. The contribution of asset allocation across markets to the Razorback Fund's total excessreturn was __________.A) -1.80%B) -1.00%C) 0.80%D) 1.00%E) none of the aboveAnswer: A Difficulty: DifficultRationale: See table below.48. The contribution of selection within markets to the Razorback Fund's total excess returnwas __________.A) -1.80%B) -1.00%C) 0.80%D) 1.00%E) none of the aboveAnswer: C Difficulty: DifficultRationale: See table below.Use the following to answer questions 49-51:In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in the following asset classes49. The total excess return on the Aggie managed portfolio was __________.A) 1%B) 3%C) 4%D) 5%E) none of the aboveAnswer: D Difficulty: EasyRationale: 15% - 10% = 5%.50. The contribution of asset allocation across markets to the total excess return wasA) 1%B) 3%C) 4%D) 5%E) none of the aboveAnswer: C Difficulty: DifficultRationale: See table below.51. The contribution of selection within markets to total excess return wasA) 1%B) 3%C) 4%D) 5%E) none of the aboveAnswer: A Difficulty: DifficultRationale: See table below.52. In measuring the comparative performance of different fund managers, the preferredmethod of calculating rate of return is __________.A) internal rate of returnB) arithmetic averageC) dollar-weightedD) time-weightedE) none of the aboveAnswer: D Difficulty: EasyRationale: For the investor, the internal rate of return (or dollar-weighted rate of return) is the preferred measure because if the investor chooses to invest heavily in one investment vehicle that performs extremely well, an increased return results, which is reflected in A (or C). However, the mutual fund manager does not usually make the decision as to the amount to invest in a particular vehicle; therefore, the time-weighted rate of return isusually used to evaluate these managers. Arithmetic average is a good measure forestimating future returns (if expectations are unchanged).53. The __________ measures the reward to volatility trade-off by dividing the averageportfolio excess return by the standard deviation of returns.A) Sharpe measureB) Treynor measureC) Jensen measureD) information ratioE) none of the aboveAnswer: A Difficulty: EasyRationale: The Sharpe measure is a measure of excess average portfolio returns over time per unit of total risk of the portfolio returns (standard deviation).54. A pension fund that begins with $500,000 earns 15% the first year and 10% the secondyear. At the beginning of the second year, the sponsor contributes another $300,000.The dollar-weighted and time-weighted rates of return, respectively, wereA) 11.7% and 12.5%B) 12.1% and 12.5%C) 12.5% and 11.7%D) 12.5% and 12.1%E) none of the aboveAnswer: B Difficulty: ModerateRationale: $500,000 + $300,000/(1 + r) = $75,000/(1 + r) + $880,000/(1 + r)2; r = 12.059%; (15+ 10)/2 = 12.5%55. The Value Line Index is an equally weighted geometric average of the returns of about1,700 firms. The value of an index based on the geometric average returns of 3 stocks where the returns on the 3 stocks during a given period were 32%, 5%, and -10%,respectively, is __________.A) 4.3%B) 7.6%C) 9.0%D) 13.4%E) 5.0%Answer: B Difficulty: ModerateRationale: [(1.32)(1.05)(0.90)]1/3 - 1.0 = 7.6%.56. Risk-adjusted mutual fund performance measures have decreased in popularity becauseA) in nearly efficient markets it is extremely difficult for portfolio managers tooutperform the market.B) the measures usually result in negative performance results for the portfoliomanagers.C) the high rates of return earned by the mutual funds in recent years have made themeasures useless.D) A and B.E) none of the above.Answer: D Difficulty: ModerateRationale: C is not true because the overall market has performed extremely well in the recent years of mutual fund growth and positive performance. In fact, the funds have grown and performed well because of the sustained market rally, and still do not show superior performance when compared to the market.57. The Sharpe, Treynor, and Jensen portfolio performance measures are derived from theCAPM,A) therefore, it does not matter which measure is used to evaluate a portfolio manager.B) however, the Sharpe and Treynor measures use different risk measures, thereforethe measures vary as to whether or not they are appropriate, depending on theinvestment scenario.C) therefore, all measure the same attributes.D) A and B.E) none of the above.Answer: B Difficulty: ModerateRationale: The Sharpe measure uses standard deviation, or total risk, as the risk measure; the Treynor measure uses beta, or systematic risk, as the risk measure.58. The Jensen portfolio evaluation measureA) is a measure of return per unit of risk, as measured by standard deviation.B) is an absolute measure of return over and above that predicted by the CAPM.C) is a measure of return per unit of risk, as measured by beta.D) A and B.E) B and C.Answer: B Difficulty: ModerateRationale: A is the Sharpe measure, C is the Treynor measure.59. The M-squared measureA) considers only the return when evaluating mutual funds.B) considers the risk-adjusted return when evaluating mutual funds.C) considers only the total risk when evaluating mutual funds.D) considers only the market risk when evaluating mutual funds.E) none of the above.Answer: B Difficulty: ModerateRationale: The M-squared measure adjusts the fund by hypothetically borrowing or lending until the total portfolio matches the risk level of an index, then ranks the fund on thebasis of this risk-adjusted return. .60. The dollar-weighted return on a portfolio is equivalent toA) the time-weighted return.B) the geometric average return.C) the arithmetic average return.D) the portfolio's internal rate of return.E) none of the above.Answer: D Difficulty: EasyRationale: The dollar-weighted return on a portfolio is equivalent to finding the internal rate of return on the cash flows to the portfolio.61. A portfolio manager's ranking within a comparison universe may not provide a goodmeasure of performance becauseA) portfolio returns may not be calculated in the same way.B) portfolio durations can vary across managers.C) if managers follow a particular style or subgroup, portfolios may not be comparable.D) both B and C.E) all of the above.Answer: D Difficulty: ModerateRationale: Returns are typically time-weighted for all portfolios and broad risk classes or styles are grouped together, but particular subgroups and differences in duration are typically not considered.62. The geometric average rate of return is based on。
公司理财(罗斯)第13章(英文)
© 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.
13-3
What Sort of Financing Decisions?
Typical financing decisions include:
How much debt and equity to sell When (or if) to pay dividends When to sell debt and equity
Strong Form
Security prices reflect all information—public and private.
McGraw-Hill/Irwin Corporate Finance, 7/e © 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.
McGraw-Hill/Irwin Corporate Finance, 7/e
© 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.
13-6
Reaction of Stock Price to New Information in Efficient and Inefficient Markets
Days before (-) and after (+) announcement
© 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.
13-8
13.3 The Different Types of Efficiency(p354)
Smart fund managers Stupid money
Smart fund managers?Stupid money?Dan Bernhardt Department of Economics,University of Illinois Ryan J.Davies Finance Division,Babson CollegeAbstract.We develop a model of mutual fund manager investment decisions near the end of quarters.We show that when investors reward better performing funds with higher cash flows,near quarter-ends a mutual fund manager has an incentive to distort new invest-ment toward stocks in which his fund holds a large existing position.The short-term price impact of these trades increase the fund’s reported returns.Higher returns are rewarded by greater subsequent fund inflows which,in turn,allow for more investment distortion the next quarter.Because the price impact of trades is short term,each subsequent quar-ter begins with a larger return deficit.Eventually,the deficit cannot be overcome.Thus, our model leads to the empirically observed short-run persistence and long-run rever-sal in fund performance.In doing so,our model provides a consistent explanation of many other seemingly contradictory empirical features of mutual fund performance.JEL classification:D82,G2,G14Malins gestionnaires de fonds?Investisseurs stupides?Les auteurs d´e veloppent un mod`e le de d´e cisions d’investissement des gestionnaires de fonds mutuels pr`e s de la fin d’un trimestre.On montre que quand les investisseurs r´e compensent les fonds mutuels per-formants en y injectant des ressources additionnelles,vers la fin d’un trimestre,le gestion-naire de fonds a une incitation`a infl´e chir le nouvel investissement vers des actions dans lesquelles le fond a une forte position existante.L’impact de ces transactions sur les prix de ces actions`a court terme augmente les rendements trimestriels rapport´e s pour le fond. De meilleurs rendements sont r´e compens´e s par un influx d’investissement subs´e quent,ce qui ouvre la porte`a encore plus de d´e flection d’investissement au trimestre suivant.Parce Richard Martin’s master’s essay under the direction of the first author was a building point for this research.We greatly appreciate Harvey Westbrook Jr’s significant contributions to early drafts.We are also grateful for comments received from two anonymous referees,Chris Brooks, Murillo Campello,Duane Seppi,and seminar participants at Queen’s University,St Francis Xavier University,the Northern Finance Association meetings,the Financial Management Association European meetings,and the Multinational Finance Society meetings.Email:rdavies@;danber@Canadian Journal of Economics/Revue canadienne d’Economique,Vol.42,No.2May/mai2009.Printed in Canada/Imprim´e au Canada0008-4085/09/719–748/C Canadian Economics Association720 D.Bernhardt and R.J.Daviesque l’impact de ces transactions sur le prix des actions est`a court terme,chaque trimestre subs´e quent commence avec un d´e ficit de rendements plus important.Eventuellement,il n’est plus possible de combler ce d´e ficit.Ce mod`e le permet d’expliquer les observations empiriques de persistance de mesures de performance du fond`a court terme et de ren-versement de la tendance`a long terme.Le mod`e le fournit aussi une explication consistante de plusieurs autres caract´e ristiques apparemment contradictoires not´e es empiriquement dans la performance des fonds mutuels.1.IntroductionIn this paper,we develop a model of mutual fund manager investment de-cisions near the end of quarters.Our basic intuition can be summarized as follows.We begin with the well-established observation that investors reward better-performing mutual funds with greater cash inflows.Small improvements in relative performance can generate large increases in future fund cash inflows.1 Thus,mutual fund managers,whose compensation rises with assets under man-agement,have strong incentives to increase the reported quarterly returns of their funds.We show that one method for doing so is for the fund to distort its end-of-quarter purchases toward stocks in which the fund already holds large po-sitions.The short-term price impact of these trades increases the reported value of the fund’s existing positions,thereby raising the fund’s end-of-quarter reported returns.A fund’s ability to engage in this distortive end-of-quarter trading is lim-ited by the amount of new cash it has available to invest.Funds with bet-ter past performance receive larger cash inflows and this facilitates more ag-gressive end-of-quarter trading.Of course,this distortion comes at a cost–there is no free lunch.Specifically,the price impacts of these trades eventu-ally decay,decreasing the next quarter’s return,all else equal.However,over time,to overcome the hangover from past distortive trading,funds must en-gage in ever more distortive trades.Eventually the accumulated hangover proves too much,leading to the long-run reversals in fund performance found in the data.Thus,our model provides a framework for explaining the puzzling empirical evidence that mutual fund returns exhibit short-run persistence(‘hot and cold hands’)and long-run reversals(past top performing funds become future un-derperformers,even after incorporating their initially superior performance).2In addition,the cost of the investment distortions that we model can help to explain 1For example,see Chevalier and Ellison(1997),Ippolito(1992),and Sirri and Tufano(1998).2Extensive evidence of short-term persistence and long-run reversals in the performance of mutual funds is provided by Hendricks,Patel,and Zeckhauser(1993),Malkiel(1995),Brown and Goetzmann(1995),Gruber(1996),Carhart(1997),Zheng(1999),Wermers(2003),and Bollen and Busse(2005).Smart fund managers?Stupid money?721 why mutual funds tend to underperform non-managed indexes,despite evidence that mutual fund managers have some stock picking ability.3A key component of our model is that the price impact of trades decays over time.Early in a quarter,fund managers may trade so as to minimize investment distortions/price ter in the quarter,however,enough of the price impact persists through the end of the quarter to make it attractive to distort investments toward assets in place.An extreme manifestation of this is the practice of‘high closing’–artificially boosting the price of a stock by purchasing shares just before the market closes on the last day of the quarter.4Trades in less liquid stocks generally have greater price impacts.Thus,our model predicts that managers of funds that specialize in less liquid stocks have greater incentives to distort end-of-quarter investment toward existing holdings. Over time,this behaviour will lead these funds to hold undiversified portfo-lios.This is consistent with the observed high-return volatility of specialized funds.Our model’s link between short-run fund performance and the concentra-tion of fund portfolios can help to reconcile the findings of Kacperczyk,Sialm, and Zheng(2005)on the performance impact of industry concentration in fund holdings.Our model suggests that funds may adapt their overall holdings to exploit the incentives modelled here.For instance,smaller funds may focus more on smaller,illiquid stocks.In this way,a small fund can be a‘big fish in a small pond.’While the typical trade size of a small fund is too small to have much influence on the price of a large stock,the same trade size can have a large impact on prices of less liquid stocks.Similarly,our model predicts that,since younger funds have a more sensitive performance-flow relationship,managers of younger funds have greater incentives to distort investment toward assets in place.5Thus,our model predictions are consistent with the empirical findings of Zheng(1999)and Wermers(2003)that smaller funds exhibit greater short-run persistence in performance and even more dramatic long-run reversals in performance.Our model also suggests that mutual funds will tend to be momentum traders–when a mutual fund’s past superior performance is generated by large positions in well-performing stocks,our model predicts that the mutual fund will continue to increases its positions in those stocks,endogenously generating momentum 3Wermers,Chen,and Jegadeesh(2000)and Pinnuck(2003)observe that stocks purchased by mutual funds tend to outperform stocks that they sell;yet,on average,actively managed funds underperform index funds.4John Gilfoyle reports,‘Nearly everyone seems to agree that high closing is common.’(Macleans, 10July2000,39).For example,the Ontario Securities Commission in its case against RT Capital Management,Inc.cites the end of year purchase of1900shares of Dia Met at a$.50premium.A Globe and Mail(7July2000)investigation found that in mutual funds on the final trading dayof the year,‘last-minute leaps beyond the normal market trends strongly suggested a round of “portfolio pumping.”’5Chevalier and Ellison(1997)find that younger funds must perform better to attract investment.722 D.Bernhardt and R.J.Daviesthrough the resulting price impact.Our model also predicts that there will be a long-run reversal in performance,that is,that those subsequent purchases will earn low long-run returns.San(2007)documents each of these empirical regu-larities for trading by institutions.Our model takes investors’decisions to reward higher short-term returns with larger cash inflows as given.There is ample empirical evidence documenting this investor behaviour.Our analysis suggests that the best response of investors is not given by this stimulus-response setup–hence the reference to‘stupid money’in the title;instead,investors’optimal investment decisions would need to reflect the strategic incentives of the fund managers.To endogenize the responses of individual investors,we would need to extend our model to include heterogeneity in fund manager ability and integrate learning by investors from mutual fund returns.Bernhardt and Nosal(2008)do this in a strategically simpler setting where a hedge fund manager can augment fund payoffs with zero NPV gambles of his own design.In our strategically richer setting,it is infeasible to endogenize both investor and fund manager behaviour,and the reader should be alert to the possibility that conclusions about‘stupid money’might be changed in such a setting.The paper proceeds as follows.The next section provides an overview of re-lated literature.Section3sets up the economic environment.Section4analyzes how a fund’s existing stock holdings influence its manager’s investment decisions and derive the consequences of these decisions for persistence in fund returns. Section5provides numerical examples.Section6concludes.Proofs are in an appendix.2.Related literatureGallagher,Gardner,and Swan(2007)use daily trading data of investment man-agers to provide direct evidence of‘painting the tape’and show that gaming behaviour is more likely to occur in smaller stocks,growth stocks,and stocks in which the fund has a larger position.Carhart et al.(2002)provide further extensive empirical support.They find that funds earn tremendous short-run returns near the end of an evaluation period,when trading behaviour has the greatest impact on performance:80% of funds beat the S&P500Index on the last trading day of the year(62%for other quarter-end dates),but only37%(40%other quarters)do so on the first trading day of a new year.This effect is even greater for small-cap funds,which trade less liquid stocks:91%of small-cap funds beat the index at year’s end, and70%for other quarter-end dates versus34%for first-quarter trading day. Carhart et al.(2002)reject benchmark-beating hypotheses in favour of strategic behaviour similar to that motivated here.Consistent with our theory,they find funds that performed better in the past year earned42basis points higher returns on the last trading day and29basis points lower on the first trading day thanSmart fund managers?Stupid money?723 funds with a worse historical performance.In sum,the data strongly support the hypothesis that fund managers respond to the short-run trading incentives that we model,and that they are collectively substantial enough to alter aggregate market outcomes.Indeed,Bernhardt and Davies(2005)find that strategic trading by fund man-agers appears to impact returns on aggregate market indexes,so that measuring the impact relative to the index,as Carhart et al.(2002)do,understates the total effect.Specifically,daily returns of the equally weighted index on the last trading day of a quarter greatly exceed the daily returns on the first trading day of the succeeding quarter,and this return difference rises with the share of total equity held by mutual funds.Zheng(1999)finds that funds with relatively high returns in one quarter have significantly greater returns than the average mutual fund in the next quarter, and relatively worse performers in one quarter generate lower returns than the average mutual fund in the next period.Zheng(1999)shows that the performance persistence is short lived:more than one-quarter into the future,funds that did better in the past under perform relative to the average fund,while historically poor-performing funds,do better.This reversal in performance is so strong that cumulative returns of historically better performers fall below those of worse performers within30months.At the stock-holdings level,Wermers(2003)finds that funds ranked in the top quintile in the prior year(‘past winners’)beat the S&P500by2%in the next year (after accounting for trading costs and expenses).He also finds that past winners beat past losers(funds in the prior year’s bottom quintile)by5%in the next year.Wermers(2003)provides empirical support for our theoretical connection between fund flows and trades,showing that flow-related buying drives stock prices up,and that this flow-related buying plays a central role in driving the persistence in fund performance.In an insightful paper,Berk and Green(2004)develop a model in which rational investors learn from a fund’s performance about its manager’s abil-ity and allocate funds accordingly.The Berk-Green model can explain both why money flows into mutual funds with recent better performance and away from those with worse past performance.However,the Berk-Green model also implies that past returns should not predict future performance,which is in-consistent with short-term performance persistence and long-run performance reversals found in the data.Primary contributions of our model are to rec-oncile these empirical observations and to provide explanations for several features of the mutual fund market not explained by the Berk-Green model, such as why stocks purchased by mutual funds outperform those that they sell,yet,on average,mutual funds underperform the market;and the end-of-quarter return patterns and strategic behaviour documented by Gallagher, Gardner,and Swan(2007),Carhart et al.(2002),and Bernhardt and Davies (2005).724 D.Bernhardt and R.J.Davies3.The model3.1.Model detailsConsider a risk-neutral mutual fund manager who can invest in three assets:stockA,stock B,and cash.The fund manager enters quarter t with an existing positionof S At shares in stock A and S Bt shares in stock B.The associated share prices areP At and P Bt.Without loss of generality we assume that P At S At≥P Bt S Bt.Cash earns a risk-free return of i,which we normalize to zero.Firms retain their earnings.Hence,a firm’s stock price is equal to its expecteddiscounted lifetime cash flows.We impose no structure on the timing of cashflows.At the beginning of quarter t,each firm makes an earnings announcementand provides guidance about future cash flows,which causes market participantsto update about firm values.We summarize the earnings announcement andguidance by its implications for the percentage change in firm value,δj,t,so that δj,t P j,t−1is the change in expected discounted cash flows.6Following a signal of δj,t,investors update about cash flows,leading to a quarter t stock price for firm j ofP j,t=P j,t−1+δj,t P j,t−1.(1) We assume that in quarter t the fund manager privately learns the next quarter’s signals,δA,t+1andδB,t+1,and can trade based on this private information in quarter t before the signals are publicly revealed with certainty at the beginning of quarter t+1.The joint density distribution of signals across firms is given by g(δA,δB).Thus,in our model,mutual funds are informed traders,whose fully rational trading decisions can be based on private information,in addition to the liquidity needs arising from net cash inflows and the strategic consideration of the price impacts of trades on returns.One role of private information in our model is to show that incentives to pump existing holdings can be so strong that the fund manager actually trades in the opposite direction of his private information.At the end of quarter t,the fund receives net cash inflows of f(r t),where r t wasthe fund’s portfolio return over quarter t.The only structure that we impose is thatf(r t)is increasing in r t–greater past fund performance raises net cash inflowsfrom investors.Presumably,the performance-flow relation reflects investor beliefsthat fund managers differ in their abilities to identify good investments(Berk andGreen2004).Here,we do not distinguish fund managers by ability,because suchdifferences can also lead to persistence in performance.Consistent with the findings of Chan and Lakonishok(1995)and Keim andMadhavan(1997),we assume that a fund manager’s stock purchases have short-term price impacts:the more shares that a fund manager purchases,the greater6Ifδj,t+1is not proportional to firm value,then pricing is sensitive to a firm’s choice of shares outstanding.Smart fund managers?Stupid money?725 is the short-term price impact.Specifically,a purchase of I jt>0shares in stock j costs P jt+ P jt(P jt,I jt)>P jt per share.We summarize the properties of the price impact of I jt, P jt(P jt,I jt),later in assumptions A1–A4.We are agnostic as to the fundamentals driving the price impact of I jt–it could be the fact that institutional trades contain information,or that market makers must be compensated for hav-ing to readjust their portfolios,and it takes time to do so.What is key is only that such institutional trading activity has a significant and persistent impact on price. It is important to note that our pricing relation does not preclude the possibility that market makers adjust their pricing to reflect the end-of-quarter incentives of funds;7or that larger orders impose greater inventory costs on market makers.8 In each quarter t,the timing of events is as follows:1.Firms announce period earnings and market participants revise expectationsabout the discounted present value of a firm’s cash flows so that stock prices equal P A,t and P B,t.2.The fund manager learnsδA,t+1andδB,t+1and invests available cash to max-imize the fund’s expected period return.Available cash consists of net cash inflows f(r t−1)plus the present value of last period’s cash position M t−1.The fund manager can sell shares,but cannot sell shares short or borrow to finance stock investments.3.The fund manager’s private information about next period’s signal,δj,t+1,isrevealed with(independent)probability,γ,and is not revealed with residual probability(1−γ).We assume thatγ∈(0,1),that is,information is only sometimes revealed to the public.A smaller value ofγreflects less leakage of information between the purchase and the end of the period.Thus,γcaptures either(i)the length of time between the purchase and the end of the quarter or(ii)the probability that private signals will be revealed(because the stock is smaller and hence is followed by fewer analysts)or(iii)a combination of both effects.4.End-of-quarter stock prices,P∗At ,P∗Bt,are realized.If the fund manager’sprivate information was revealed,P∗jt=P jt+δj,t+1P jt.If the private information was not revealed,P∗jt=P jt+ P jt(P jt,I jt).7Bhattacharyya and Nanda(2007)augment a standard single asset static Kyle(1985)model by having an informed agent’s objective be the weighted average of(i)a short-run return based on the price generated by his trade on his holdings of the asset and(ii)the final return on the stock, when market maker’s have a signal about the agent’s pre-trade holdings of the asset.They derive a linear pricing rule that is less sensitive to order flow than the standard model.8Hendershott and Seasholes(2007)document that,on average,prices rise when larger orders substantially reduce market-maker inventories,before falling subsequently in the next week when market makers re-establish their inventories.726 D.Bernhardt and R.J.DaviesFIGURE 1Timeline of events in quarter t and the evolution of stock prices5.End-of-quarter fund returns (r t )are realized.The fund receives net cash in-flows of f (r t ).Figure 1provides a sketch of the timing of events.We next set out the sole structure imposed on the short-term price impact of share trades:A1.If I jt =0,there is no price impact: P jt (P jt ,0)=0.A2.The price impact of larger orders is greater:∂ P jt (P jt ,I jt )/∂I jt >0.A3.The price schedules are symmetric: P At (·)= P Bt (·).A4.The price schedule is concave,but not too concave:∂2 P jt (P jt ,I jt )∂I 2jt ≤0;2∂ P jt (P jt ,I jt )∂I jt +I jt ∂2 P jt (P jt ,I jt )∂I 2jt>0.Assumption A1is largely a normalization.Assumption A2captures the empir-ical regularity that larger orders have greater price impacts and is an equilib-rium property of economic models in which individual orders are information-ally large (Kyle 1985,etc.)or are large from the perspective of market-maker inventories.Assumption A3allows us to abstract away from how different price schedules affect a fund manager’s investment decisions,and is consistent with the assets’having the same stochastic properties and market makers’not knowing the holdings of individual fund ter,we allow price schedules to differ across stocks.Assumption A4is a technical assumption whose role is to ensure that the fund manager’s optimal trading strategy is characterized by first-order conditions.Some of our results will be most transparent when we assumeA5.The price impact of an order is proportional to the value of the order: P (P jt ,I jt )=k (P jt I jt )P jt ,k >0.(2)Assumption A5is implied if pricing is neutral with respect to a firm’s choice of shares outstanding.Smart fund managers?Stupid money?727 Fund manager’s problem.At the beginning of quarter t,the fund manager invests to maximize the expected quarter portfolio return:max M t,I At,I Bt E[r t]=M t+jS j,t+1E[P∗jt]M t−1+f(r t−1)+jP∗j,t−1S jt−1,(3)subject toM t≥0,I jt≥−S jt,j=A,Bj[P jt+ P jt(P jt,I jt)]I jt+M t≤f(r t−1)+M t−1,where S j,t+1=S jt+I jt and E[P∗jt]=P jt+(1−γ) P jt(P jt,I jt)+γδj,t+1P jt. We will assume that the short-selling constraint,I jt≥−S jt,j=A,B does not bind:the fund manager does not receive such a bad signal about a stock that he wants to sell more shares of the stock than he has in his portfolio.3.2.Discussion of the model3.2.1.Modelling approachThe logical construction of our model is deceivingly simple,masking the fact that it contains many ingredients that researchers have not yet been able to analyze even separately within a structural market microstructure setting.Central to our model is an informed fund manager who is budget constrained,chooses how many shares of multiple assets to purchase or sell,makes investment decisions over time,and must incorporate the fund’s existing asset holdings into trading decisions.The existing holdings enter non-neutrally because the price impacts of trades affect the portfolio return that investors observe and condition future mutual fund investments on.Further complicating this dynamic optimization problem,a fund manager’s trades must have price impacts,trading scales cannot be trivial(i.e.,zero versus single round lots),and trading rules will be highly non-linear.There is a large market microstructure literature dating back to Kyle(1985) that analyzes a single asset that generates endogenously the price impacts of orders of the form that we model and that are found in the data.9In Kyle and its multi-agent extensions,risk-neutral speculators receive normally distributed signals about one asset’s terminal value,submit orders over time that are mixed in with normally distributed exogenous‘noise trade,’and a market maker sets price equal to the asset’s expected value given the net order flow.The normal assumptions imply linear conditional forecasts and hence linear pricing,making the problem9Noisy rational expectations frameworks are inappropriate here,as they assume that individuals are small,so their individual trades do not generate the price impact found in the data.728 D.Bernhardt and R.J.Daviessolvable.Caball´e and Krishnan(1994)extend this analysis to multiple stocks in a static setting and prove that a linear equilibrium exists.Bernhardt and Taub(2008) provide rich analytical characterizations of the Caball´e and Krishnan model,and they also solve for equilibrium outcomes when speculators can condition their trades on prices.To our knowledge,there are no other theoretical papers with multiple assets and price impacts.Technically,the biggest challenge to handle in a model with full primitives is the budget constraint,which destroys linearity of forecasts(and hence prices)in models with normally distributed signals.Not only does our fund manager have a budget constraint,but the budget is endogenous,there are multiple risky assets, and assets-in-place critically affect optimal trades.While the budget constraint is central to the economics of our results,it is not central to the form of pricing–in any setting where an agent’s trade is‘large,’the equilibrium pricing schedule will have price impacts(larger orders receive higher prices),simply because an agent with a better signal about an asset buys more and must face an opportunity cost of buying more–in the form of a higher price.One can also derive endogenously the qualitative consequences of introduc-ing an investor who wants to devote resources toward assets in place within an equilibrium model.Bhattacharyya and Nanda(2007;hereafter B-N)do this by adapting Kyle(1985)to consider a single investor who cares about both the in-terim payoff on an existing inventory position on a single risky asset and the final payoff.The investor has a two-period horizon.At date1,the investor receives a private signal and trades once in a simultaneous batch auction.At date2,the asset is liquidated at its true value.Thus,the investor’s date1trading decision is based on the NA V of his position at dates1and2;in particular,the investor incorporates the price impact of trading on the value of his existing position at date1.As a result,the optimal trade size is linearly related to the size of the existing position.In the most general B-N setting,the market maker has a noisy signal of the investor’s(normally distributed)existing position.This preserves linear forecasts and hence linear pricing.The investor’s incentives to pump up the value of his holdings reduce the sensitivity of the equilibrium price schedule to order flow, but the qualitative properties of pricing are otherwise preserved.B-N argue that the investor’s incentives to enhance short-term values can explain why closed-end funds trade at a discount to their NA Vs.Their model,however,cannot shed light on any of the issues we study,as it cannot deal with multiple risky assets, the budget constraints of mutual funds,or fund managers with multiple trading opportunities.In sum,while some of our assumptions are not grounded in primitive founda-tions,our framework requires only a mild reduced-form structure on pricing.This pricing structure holds empirically and allows us to get at the key links between the market structure of asset pricing,strategic fund manager behaviour,and port-folio returns,thereby reconciling a host of fundamental empirical regularities in fund performance.。
mutual知识点总结
mutual知识点总结Mutual is a term that refers to a relationship or agreement that is shared or held in common between two or more parties. It can be used in a variety of contexts, such as in business, finance, insurance, and personal relationships. In this article, we will explore the concept of mutual and the various ways it can be applied.Mutual in Personal RelationshipsIn personal relationships, mutual refers to a sense of reciprocity and shared feelings or actions between individuals. For example, a mutual friendship is one where both parties have a mutual understanding and respect for each other. This can involve mutual trust, support, and understanding. In a romantic relationship, mutual love and affection are essential for a healthy and fulfilling partnership.Mutual in BusinessIn the context of business, mutual can refer to a mutual agreement or understanding between two parties. This can involve mutual cooperation, mutual benefit, and mutual respect. For example, in a mutual partnership, both parties agree to work together for the mutual benefit of both companies. Mutual agreements can also be seen in contracts and business deals, where both parties agree to certain terms and conditions for mutual benefit.Mutual in FinanceIn finance, mutual can refer to mutual funds, which are investment vehicles that pool money from multiple investors to invest in stocks, bonds, and other securities. Mutual funds are managed by professional fund managers, who make investment decisions on behalf of the fund's investors. The goal of a mutual fund is to provide a diversified investment portfolio that can help investors achieve their financial goals. Mutual funds are a popular investment choice for individuals and institutions looking for a convenient and professional way to invest in the financial markets.Mutual in InsuranceIn the context of insurance, mutual can refer to mutual insurance companies, which are owned by their policyholders rather than by shareholders. Mutual insurance companies operate on the principle of mutuality, which means that policyholders have a mutual interest in the company's success and financial stability. Policyholders may receive dividends or other forms of profit-sharing from the company's profits. Mutual insurance companies may offer a wide range of insurance products, including life insurance, property and casualty insurance, and health insurance.Mutual KnowledgeMutual knowledge refers to knowledge or information that is shared or known by multiple parties. This can involve shared experiences, shared understanding, and shared beliefs. Forexample, in a team or organizational setting, mutual knowledge is essential for effective collaboration and communication. When everyone is on the same page and has a mutual understanding of the goals, objectives, and expectations, it can lead to better teamwork and productivity.Mutual UnderstandingMutual understanding refers to a state of shared understanding and agreement between two or more parties. This can involve mutual respect, empathy, and open communication. In personal relationships, mutual understanding is important for resolving conflicts and strengthening the connection between individuals. In a business context, mutual understanding is essential for successful negotiations, partnerships, and collaborations.Mutual RespectMutual respect refers to a reciprocal feeling of admiration, esteem, or deference between individuals. This can involve respecting each other's opinions, beliefs, and boundaries. In personal relationships, mutual respect is the foundation for healthy and supportive connections. In the workplace, mutual respect is essential for creating a positive and inclusive work environment.Mutual TrustMutual trust refers to a sense of confidence and reliance between individuals. It involves trusting and being trusted by others. In personal relationships, mutual trust is essential for building and maintaining strong bonds. In business, mutual trust is crucial for successful partnerships, transactions, and collaborations.Mutual BenefitMutual benefit refers to the advantages and gains that are shared by two or more parties. This can involve a mutually beneficial agreement, arrangement, or partnership. In business, mutual benefit is often the driving force behind successful transactions and partnerships. In personal relationships, mutual benefit can lead to a sense of fulfillment and satisfaction for all involved parties.Mutual CooperationMutual cooperation refers to the action of working together for a common goal or purpose. This can involve mutual support, collaboration, and coordination. In a business context, mutual cooperation is essential for achieving collective goals and objectives. In personal relationships, mutual cooperation can lead to stronger bonds and shared accomplishments. Mutual AidMutual aid refers to the support and assistance that is provided between individuals or groups in times of need. This can involve mutual help, solidarity, and community-basedsupport. Mutual aid can be seen in various forms, such as mutual aid networks, mutual assistance groups, and mutual support systems.ConclusionIn summary, mutual is a term that encompasses various aspects of shared relationships, agreements, and understanding between individuals, businesses, and entities. Whether it's in personal relationships, business partnerships, financial investments, or insurance, the concept of mutual plays a crucial role in fostering meaningful connections, cooperation, and mutual benefit. Understanding and embracing the principles of mutual can lead to more harmonious and productive relationships and interactions in various aspects of life.。
chapter6fundmanagement(金融市场学)
Fund Management
Chapter Objectives
Explain the concept of mutual fund operation Explain various types of mutual funds Describe the various types of stock and bond
Comparison to depository institutions
Like depository institutions, mutual funds repackage proceeds from individuals to make investments
Bank deposits are a liability contract, but a mutual fund represents partial ownership
Generate an increase in investment value rather than steady income
Capital appreciation or aggressive growth funds
High but unproven growth potential stocks Higher risk
Stock Mutual Fund Categories
Growth and inc源自me funds try to offer growth but with some stability of income
International and global funds allow investment in foreign securities without the costs involved in purchasing and monitoring individual stocks
【CFA笔记】portfolio_management（7％）_
Portfolio Management: An OverviewOne measure of the benefits of diversification is the diversification ratio. It is calculated as the ratio of the risk of an equally weighted portfolio of n securities (measured by its standard deviation of returns) to the risk of a single security selected at random from the n securities.例子：If the average standard deviation of returns for the n stocks is 25%, and the standard deviation of returns for an equally weighted portfolio of the n stocks is 18%, the diversification ratio is 18 / 25 = 0.72.Foundations and endowments typically have long investment horizons, high risk tolerance, and, aside from their planned spending needs, little need for additional liquidity.Banks seek to keep risk low and need adequate liquidity to meet investor withdrawals as they occur.Insurance companies invest customer premiums with the objective of funding customer claims as they occur. Life insurance companies have a relatively long-term investment horizon, while property and casualty财产和意外保险(P&C) insurers have a shorter investment horizon because claims are expected to arise sooner than for life insurers.Sovereign wealth funds refer to pools of assets owned by a government.A defined contribution pension plan is a retirement plan in which the firm contributes a sum each period to the employee’s retirement account.In a defined benefit pension plan, the firm promises to make periodic payments to employees after retirement.There are three major steps in the portfolio management process:Step 1: The planning step begins with an analysis of the investor’s risk tolerance, return objectives, time horizon, tax exposure, liquidity needs, income needs, and any unique circumstances or investor preferences.This analysis results in an investment policy statement (IPS)that details the investor’s investment objectives and constraints.Step 2: The execution step involves an analysis of the risk and return characteristics of various asset classes to determine how funds will be allocated to the various asset types.in what is referred to as a top-down analysis, a portfolio manager will examine current economic conditions and forecasts of such macroeconomic variables as GDP growth, inflation, and interest rates, in order to identify the asset classes that are most attractive.Step 3: The feedback step is the final step. Over time, investor circumstances will change, risk and return characteristics of asset classes will change, and the actual weights of the assets in the portfolio will change with asset prices.Mutual funds are one form of pooled investments (i.e., a single portfolio that contains investment funds frommultiple investors). Each investor owns shares representing ownership of a portion of the overall portfolio. The total net value of the assets in the fund (pool) divided by the number of such shares issued is referred to as the net asset value (NA V) of each share.With an open-end fund, investors can buy newly issued shares at the NA V. Newly invested cash is invested by the mutual fund managers in additional portfolio securities. Investors can redeem their shares (sell them back to the fund) at NA V as well. All mutual funds charge a fee for the ongoing management of the portfolio assets, which is expressed as a percentage of the net asset value of the fund. No-load funds免佣基金do not charge additional fees for purchasing shares (up-front fees) or for redeeming shares (redemption fees). Load funds charge either up-front fees, redemption fees, or both.Closed-end funds are professionally managed pools of investor money that do not take new investments into the fund or redeem investor shares. The shares of a closed-end fund trade like equity shares (on exchanges or over-the-counter). As with open-end funds, the portfolio management firm charges ongoing management fees.T ypes of Mutual Funds：Money market funds invest in short-term debt securities and provide interest income with very low risk of changes in share value.Bond mutual funds invest in fixed-income securities. They are differentiated by bond maturities, credit ratings, issuers, and types.A great variety of stock mutual funds are available to investors. Index funds are passively managed; that is, the portfolio is constructed to match the performance of a particular index, such as the Standard & Poor’s 500 Index. Actively managed funds refer to funds where the management selects individual securities with the goal of producing returns greater than those of their benchmark indexes.Other Forms of Pooled Investments：Exchange-traded funds (ETFs) are similar to closed-end funds in that purchases and sales are made in the market rather than with the fund itself.【相同之处】【ETFs和close end fund不同之处】While closed-end funds are often actively managed, ETFs are most often invested to match a particular index (passively managed). With closed-end funds, the market price of shares can differ significantly from their NA V due to imbalances between investor supply and demand for shares at any point in time. Special redemption provisions for ETFs are designed to keep their market prices very close to their NA Vs.【ETFs和open end fund不同之处】ETFs can be sold short, purchased on margin, and traded at intraday盘中交易价prices, whereas open-end funds are typically sold and redeemed only daily, based on the share NA V calculated with closing asset prices.Investors in ETFs must pay brokerage commissions when they trade, and there is a spread between the bid price at which market makers will buy shares and the ask price at which market makers will sell shares.With most ETFs, investors receive any dividend income on portfolio stocks in cash, while open- end funds offer thealternative of reinvesting dividends in additional fund shares.One final difference is that ETFs may produce less capital gains liability compared to open- end index funds. This is because investor sales of ETF shares do not require the fund to sell any securities. If an open-end fund has significant redemptions that cause it to sell appreciated portfolio shares, shareholders incur a capital gains tax liability.A separately managed account is a portfolio that is owned by a single investor and managed according to that investor’s needs and preferences. No shares are issued, as the single investor owns the entire account.Portfolio Risk and Return: Part IHolding period return (HPR) is simply the percentage increase in the value of an investment over a given time period:The geometric mean return is a compound annual rate. When periodic rates of return vary from period to period, the geometric mean return < the arithmetic mean return:The money-weighted rate of return is the internal rate of return on a portfolio based on all of its cash inflows and outflows.Gross return refers to the total return on a security portfolio before deducting fees for the management and administration of the investment account. Net return refers to the return after these fees have been deducted.Note that commissions on trades and other costs that are necessary to generate the investment returns are deducted in both gross and net return measures.Pretax nominal return refers to the return prior to paying taxes.After-tax nominal return refers to the return after the tax liability is deducted.year when inflation is 2%. The investor’s approximate real return is simply 7 - 2 = 5%. The investor’s exact real return is slightly lower, 1.07 / 1.02 - 1 = 0.049 = 4.9%.A leveraged return refers to a return to an investor that is a multiple of the return on the underlying asset.The leveraged return is calculated as the gain or loss on the investment as a percentage of an investor’s cash investment. An investment in a derivative security, such as a futures contract, produces a leveraged return because the cash deposited is only a fraction一小部分of the value of the assets underlying the futures contract. Leveraged investments in real estate are very common: investors pay for only part of the cost of the property with their own cash, and the rest of the amount is paid for with borrowed money.small-capitalization stocks have had the greatest average returns and greatest risk over the period.Covariance measures the extent to which two variables move together over time. A positive covariance means that the variables (e.g., rates of return on two stocks) tend to move together. Negative covariance means that the two variables tend to move in opposite directions.Here we will focus on the calculation of the covariance between two assets’ returns using historical data.The covariance of the returns of two securities can be standardized by dividing by the product of the standard deviations of the two securities. This standardized measure of co-movement is called correlation and is computed as:A risk-averse investor is simply one that dislikes risk (i.e., prefers less risk to more risk). Given two investments that have equal expected returns, a risk-averse investor will choose the one with less risk (standard deviation).A risk-seeking (risk-loving) investor actually prefers more risk to less and, given equal expected returns, willchoose the more risky investment. A risk-neutral investor has no preference regarding risk and would be indifferent between two such investments.The variance of returns for a portfolio of two risky assets is calculated as follows:Note that portfol io risk falls as the correlation between the assets’ returns decreases. This is an important result of the analysis of portfolio risk: The lower the correlation of asset returns, the greater the risk reduction (diversification) benefit of combining assets in a portfolio. If asset returns were perfectly negatively correlated, portfolio risk could be eliminated altogether for a specific set of asset weights.For each level of expected portfolio return, we can vary the portfolio weights on the individual ass ets to determine the portfolio that has the least risk. These portfolios that have the lowest standard deviation of all portfolios with a given expected return are known as minimum-variance portfolios. T ogether they make up the minimum-variance frontier. On a risk versus return graph, the portfolio that is farthest to the left (has the least risk) is known as the global minimum-variance portfolio整体最小方差投资组合.Assuming that investors are risk averse, investors prefer the portfolio that has the greatest expected return when choosing among portfolios that have the same standard deviation of returns. Those portfolios that have the greatest expected return for each level of risk (standard deviation) make up the efficient frontier.An investor’s utility function效用函数represents the investor’s preferences in terms of risk and return (i.e., his degree of risk aversion).An indifference curve is a tool from economics that, in this application, plots combinations of risk (standard deviation) and expected return among which an investor is indifferent.a more risk-averse investor will have steeper indifference curves, reflecting a higher risk aversion coefficient. Combining a risky portfolio with a risk-free asset is the process that supports the two- fund separation theorem, which states that all investors’ optimum portfolios will be made up of some combination of an optimal portfolio of risky assets and the risk-free asset. The line representing these possible combinations of risk-free assets and theoptimal risky asset portfolio is referred to as the capital allocation line.Now that we have constructed a set of the possible efficient portfolios (the capital allocation line) Portfolio Risk and Return: Part IIThe line of possible portfolio risk and return combinations given the risk-free rate and the risk and return of a portfolio of risky assets is referred to as the capital allocation line (CAL).A simplifying assumption underlying modern portfolio theory (and the capital asset pricing model, which is introduced later in this topic review) is that investors have homogeneous expectationsDepending on their preferences for risk and return (their indifference curves), investors may choose different portfolio weights for the risk-free asset and the risky (tangency) portfolio. Every investor, however, will use the same risky portfolio. When this is the case, that portfolio must be the market portfolio of all risky assets because all investors that hold any risky assets hold the same portfolio of risky assets.只有与有效边界相切的那条才是CML。
【经济学人双语阅读：投资管理 贝莱德来了
【经济学人】双语阅读：投资管理贝莱德来了Leaders领导人们Investment management投资管理The rise of BlackRock贝莱德来了In 25 years, BlackRock has become the world's biggest investor. Is its dominance a problem? 贝莱德二十五年间成为世界上最大资产管理公司，一家独大会出问题吗？ASK conspiracy theorists who they think really runs the world, and they will probably point to global banks, such as Citigroup, Bank of America and JPMorgan Chase.问问阴谋论者到底是谁主宰着世界，他们很可能会将矛头指向跨国银行，比如花旗银行、美国银行、摩根大通，Oil giants such as Exxon Mobil and Shell may also earn a mention.石油巨头埃克森美孚、壳牌可能也会躺枪。
Or perhaps they would focus on the consumer-goods firms that hold billions in their thrall: Apple, McDonald's or Nestlé.或许，还会有人揪着几家资产亿万的消费品公司不放：苹果、麦当劳、雀氏，诸如此类。
One firm unlikely to feature on their list is BlackRock, an investment manager whose name rings few bells outside financial circles.有一家公司不大可能会入其法眼，那就是贝莱德集团，这家投资管理公司出了金融界可谓是知之者甚少。